Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship

Vasco Gabriel and Luis Martins

Empirical Economics, 2011, vol. 41, issue 3, 639-662

Keywords: Present value model; Cointegration tests; Markov switching; C32; G12; E44 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship (2010)
Working Paper: Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship (2010)
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DOI: 10.1007/s00181-010-0401-8

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