Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA)
Martins, L. F. & Rodrigues, P. (2022). Tests for segmented cointegration: An application to US governments budgets. Empirical Economics. 63 (2), 567-600
Exportar Referência (IEEE)
L. F. Martins and P. M. Rodrigues,  "Tests for segmented cointegration: An application to US governments budgets", in Empirical Economics, vol. 63, no. 2, pp. 567-600, 2022
Exportar BibTeX
@article{martins2022_1716299277335,
	author = "Martins, L. F. and Rodrigues, P.",
	title = "Tests for segmented cointegration: An application to US governments budgets",
	journal = "Empirical Economics",
	year = "2022",
	volume = "63",
	number = "2",
	doi = "10.1007/s00181-021-02156-7",
	pages = "567-600",
	url = "https://www.springer.com/journal/181"
}
Exportar RIS
TY  - JOUR
TI  - Tests for segmented cointegration: An application to US governments budgets
T2  - Empirical Economics
VL  - 63
IS  - 2
AU  - Martins, L. F.
AU  - Rodrigues, P.
PY  - 2022
SP  - 567-600
SN  - 0377-7332
DO  - 10.1007/s00181-021-02156-7
UR  - https://www.springer.com/journal/181
AB  - There is a growing literature documenting that the persistence of time series may change over time, and as a consequence, shifts in the long-run equilibrium of macroeconomic variables are expected. An important example is the significant increase in public debt in certain periods of time due to increases in government expenditures which are not matched by revenue counterparts. In this paper, new residual-based Wald-type tests are proposed which are designed to detect segmented cointegration, i.e., subsamples during which equilibrium relations exist. We derive the asymptotic properties of the tests, tabulate critical values for models with different deterministic components, and show by simulations that the tests display good finite sample performance in many relevant setups. Our empirical application provides a thorough examination of the main components of US governments’ budgets at two administrative levels (Federal, and State and Local) and concludes that until Bill Clinton’s presidency government budgets components never moved together.
ER  -