A simple method of testing for cointegration subject to multiple regime changes

Economics Letters

Volumn 76, Issue 2, 2002, Pages 213-221

  Gabriel, Vasco J ^a   Psaradakis, Zacharias ^b   Sola, Martin ^c  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF MINHO   (Portugal)

^c UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

Author keywords

Cointegration; Hypothesis testing; Markov switching; Standardized residuals

Indexed keywords

EID: 0035997439     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(02)00038-1     Document Type: Article

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