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Export Reference (APA) 
Gabriel, V.J.  & Martins, L.F. (2011). Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship. Empirical Economics. 41 (3), 639-662
Export Reference (IEEE) 
G. V.J. and L. F. Martins,  "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship", in Empirical Economics, vol. 41, no. 3, pp. 639-662, 2011
Export BibTeX 
@article{v.j.2011_1765612851441,
	author = "Gabriel, V.J.  and Martins, L.F.",
	title = "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship",
	journal = "Empirical Economics",
	year = "2011",
	volume = "41",
	number = "3",
	doi = "10.1007/s00181-010-0401-8",
	pages = "639-662",
	url = "http://www.springerlink.com/content/n416855h5vtu5085/"
}
Export RIS 
TY  - JOUR
TI  - Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship
T2  - Empirical Economics
VL  - 41
IS  - 3
AU  - Gabriel, V.J. 
AU  - Martins, L.F.
PY  - 2011
SP  - 639-662
SN  - 0377-7332
DO  - 10.1007/s00181-010-0401-8
UR  - http://www.springerlink.com/content/n416855h5vtu5085/
AB  - We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.
ER  -