Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert, Karsten

Testing for cointegration with threshold adjustment in the presence of structural breaks

dc.contributor.author	Schweikert, Karsten	de
dc.date.accessioned	2024-04-08T08:55:45Z
dc.date.available	2024-04-08T08:55:45Z
dc.date.created	2018-05-02
dc.date.issued	2018
dc.description.abstract	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.	en
dc.identifier.swb	502578572
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/6263
dc.identifier.urn	urn:nbn:de:bsz:100-opus-14808
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheim discussion papers in business, economics and social sciences; 2018,07
dc.rights.license	publ-mit-pod	en
dc.rights.license	publ-mit-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subject	Cointegration	en
dc.subject	Threshold autoregression	en
dc.subject	Structural breaks	en
dc.subject	SETAR	en
dc.subject	MTAR asymmetric price transmission	en
dc.subject.ddc	330
dc.subject.gnd	Kointegration	de
dc.title	Testing for cointegration with threshold adjustment in the presence of structural breaks	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.faculty.number	3	de
local.institute.number	520	de
local.opus.number	1480
local.series.issueNumber	2018,07
local.series.title	Hohenheim discussion papers in business, economics and social sciences
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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