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2002 | 5 | 89--101
Tytuł artykułu

Testing for Cointegration in the Presence of Regime Shifts and other Structural Breaks in the Conditional Equation

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Revised solutions for the models permitting various known and unknown timing structural breaks (including regime shift) only in the conditional equation were given in Krauze (2001b). In this paper they are reconsidered and extended. The outline of the paper is as follows: Section 2 presents the data generating models and two (ECM and CDF) testing procedures for cointegration relating to various specifications of models with structural breaks. Section 3 describes an empirical example based on exchange rate model. We close with some concluding remarks in Section 4.(fragment of text)
Opis fizyczny
  • Gdańsk Academy of Banking, Poland
  • Fuller, W. A. (1976), Introduction to Statistical Time Series, Wiley, New York.
  • Gregory A.W., Hansen, B.E. (1996a), Residual-Based Tests for Cointegration in Models with Regime Shifts, Journal of Econometrics, 70, 99-126.
  • Gregory, A. W., Hansen, B. E. (1996b), Tests for Cointegration in Models with Regime and Trend Shifts, Oxford Bulletin of Economics and Statistics, 70, 99-126.
  • Krauze, K. (1999b), Cointegration Tests in Models with Regime Shifts, in: Welfe W. (ed.), Proceedings of the Conference Macromodels'98, vol. 2, Absolwent, Łódź, 219-243.
  • Krauze, K. (2002), Econometric Modelling and Hypothesis Testing for Integration and Cointegration of Time Series under Structural Breaks, (in Polish), assistant professor work, Gdańsk University Press, Sopot.
  • Krauze, K. (1995), Nonstationarity and Structural Breaks in Time Series: Disaggregated and Aggregated Exchange Rates, in: Econometrie de la Transition, de l'Intégration et du Dévelopment, Actes du Colloque, vol. 2, Institute of Econometric and Statistics (Łódź University), Central Planning Office, Łódź, 87-96.
  • Krauze, K. (2001a), Polish Zloty Exchange Rate in Transition Period: Testing for Unit Roots in the Presence of Structural Breaks, paper presented at the International Conference "East European Transition and EU Enlargement: A Quantitative Approach", Sopot, 15-21.06.2001.
  • Krauze, K. (2001b), Testing for Cointegration in the Dynamic System of Regressions under Regime Shift with Admission of Other Structural Breaks in the Conditional Equation, in: Dynamic econometric Models, (in Polish), Nicholas Copernicus University Press, Toruń, 107-117.
  • Krauze, K. (1999a), Testing for Cointegration in the Linear System of Regressions under Structural Breaks in the Conditional Process, in: Dynamic econometric Models, (in Polish), TNOiK "Dom Organizatora", Toruń, 83-101.
  • Krauze, K. (1998), Tests for Cointegration in Models with Regime Shifts, paper presented at the Econometric Society European Meeting, Berlin, 29.08-02.09.1998.
  • MacKinnon, J. G. (1991), Critical Values for Cointegration Tests, Chap. 13, in: Long-Run Economic Relationships: Readings in Cointegration, Engle R.F., C.W.J. Granger (eds.), Oxford University Press, Oxford, 267-276.
  • Zivot, E., Andrews, W. K. (1992), Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Journal of Business and Economic Statistics, 10, 251-270.
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