Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

David Neto

Empirical Economics, 2015, vol. 49, issue 3, 909-928

Abstract: This paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321–335, 1992 ). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Smooth time-varying cointegration; Structural break; FMLS; Score test; FM Wald test; FMLS-based CUSUM test; Crude oil price and retail price of gasoline; C12; C18; Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-014-0907-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:49:y:2015:i:3:p:909-928

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-014-0907-6

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().