English
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Descrição Detalhada da Publicação
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship
Título Revista
Empirical Economics
Ano (publicação definitiva)
2011
Língua
Inglês
País
Áustria
Mais Informação
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Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Present value model; Cointegration tests; Markov switching
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
- Sociologia - Ciências Sociais
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