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

• Autorzy: Kazimierz Krauze
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Tests; Cointegration; Multi-equation models; Econometric models

PL

Testy; Kointegracja; Modele wielorównaniowe; Modele ekonometryczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2002
• Tom: 5
• Strony: 89--101

Twórcy

autor

Kazimierz Krauze

• Gdańsk Academy of Banking, Poland

Bibliografia

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• 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.
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• 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.
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