文章基本信息

标题：COINTEGRATION TESTS UNDER MULTIPLE REGIME SHIFTS: AN APPLICATION TO THE STOCK PRICE-DIVIDEND RELATIONSHIP
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作者：Vasco J Gabriel ; Luis F Martins
期刊名称：Discussion Papers in Economics / Department of Economics, University of Surrey
出版年度：2010
卷号：2010
出版社：University of Surrey
摘要：We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-o¤ deterministic breaks, our approach has the advantage of allowing for an unspeci.ed number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock-price dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.
关键词：Present value model; Cointegration tests; Markov switching.