A new version of this entry is available:
Loading...
ResearchPaper
2018
Testing for cointegration with threshold adjustment in the presence of structural breaks
Testing for cointegration with threshold adjustment in the presence of structural breaks
Abstract (English)
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test with regime shift introduced by Gregory and Hansen (1996a) to include forms of nonlinear adjustment. We derive the asymptotic distribution of the test statistics and demonstrate the finite-sample performance of the tests in a series of Monte Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a shift in the slope coefficient of the equilibrium equation. The proposed tests perform superior in these situations. An application to the ‘rockets and feathers’ hypothesis of price adjustment in the US gasoline market provides empirical support for this methodology.
File is subject to an embargo until
This is a correction to:
A correction to this entry is available:
This is a new version of:
Notes
Publication license
Publication series
Hohenheim discussion papers in business, economics and social sciences; 2018,07
Published in
Faculty
Faculty of Business, Economics and Social Sciences
Institute
Institute of Economics
Examination date
Supervisor
Edition / version
Citation
Identification
DOI
ISSN
ISBN
Language
English
Publisher
Publisher place
Classification (DDC)
330 Economics
Original object
Standardized keywords (GND)
Sustainable Development Goals
BibTeX
@techreport{Schweikert2018,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/6263},
author = {Schweikert, Karsten},
title = {Testing for cointegration with threshold adjustment in the presence of structural breaks},
year = {2018},
school = {Universität Hohenheim},
series = {Hohenheim discussion papers in business, economics and social sciences},
}