Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/11671

TitleCointegration tests under multiple regime shifts : an application to the stock price-dividend relationship
Author(s)Gabriel, Vasco J.
Martins, Luís F.
KeywordsPresent value model
Cointegration tests
Markov switching
Issue date2010
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
CitationGABRIEL, Vasco J. ; MARTINS, Luís J. – “Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship “[Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_28_2010.pdf>.
Abstract(s)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 work, 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.
TypeWorking paper
URIhttp://hdl.handle.net/1822/11671
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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