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Tests for Cointegration in Models with Regime and Trend Shifts

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  • Gregory, Allan W
  • Hansen, Bruce E
Abstract
Recently A. W. Gregory and B. E. Hansen (1996) proposed a number of residual-based tests for cointegration models with the possibility of a structural break. They considered three models: level shift, level shift with trend, and regime shift (both level shift and slope coefficients can change). The authors introduce a more general model that permits a trend shift as well as a regime shift and they provide the critical values appropriate for testing this hypothesis. Copyright 1996 by Blackwell Publishing Ltd

Suggested Citation

  • Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
    • Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:555-60
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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