TEST PROCEDURES FOR COINTEGRATION TN MODELS WITH REGIME AND OTHER STRUCTURAL SHIFTS IN THE CONDITIONAL PROCESS. A GENERALIZATION

• Authors: Krauze K.
• Languages of publication: EN

Abstracts

EN

The paper generalizes some cointegration tests in the case of known and unknown timing regime and other possible structural (such as level and/or time) shifts in the conditional equation. These tests are based on the Engle-Granger's procedure (CDF) and on the estimated error correction model (ECW). Taking into account requirements of the 'general to specific modelling', we allow for appearance of any fixed number of marginal equations. Consequently our response surface equation includes, apart from typical regressors, also the number of marginal equations. Therefore we are able to calculate the critical values of the considered tests in the case of any finite number of these equations

Keywords

EN

COINTEGRATION TESTS; REGIME SHIFTS; RESPONSE SURFACE; STRUCTURAL SHIFTS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2005
• Volume: 52
• Issue: 2
• Pages: 73-83
• Document type: ARTICLE

Contributors

author

Krauze K.

• K. Krauze, Akademia Morska, Katedra Zarzadzania, ul. Morska 81/87, 81-225 Gdynia, Poland

Identifiers

CEJSH db identifier

05PLAAAA0038930