Arbeitspapier
Testing for cointegration with threshold adjustment in the presence of structural breaks
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Hohenheim Discussion Papers in Business, Economics and Social Sciences ; No. 07-2018
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Energy: Demand and Supply; Prices
- Thema
-
cointegration
threshold autoregression
structural breaks
SETAR
MTAR
asymmetric price transmission
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schweikert, Karsten
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hohenheim, Fakultät Wirtschafts- und Sozialwissenschaften
- (wo)
-
Stuttgart
- (wann)
-
2018
- Handle
- URN
-
urn:nbn:de:bsz:100-opus-14808
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schweikert, Karsten
- Universität Hohenheim, Fakultät Wirtschafts- und Sozialwissenschaften
Entstanden
- 2018
Ähnliche Objekte (12)
Testing for cointegration with threshold adjustment in the presence of structural breaks
Does trade openness affect economic growth in India? Evidence from threshold cointegration with asymmetric adjustment
Structural breaks, cointegration and the Fisher effect
Panel Cointegration Tests with Deterministic Trends and Structural Breaks
Structural breaks, cointegration and demand for money in Nigeria
Decision maps for bivariate time series with potential threshold cointegration
Technology, human capital and growth: Further evidence from threshold cointegration
Price adjustment in world wine markets: A cointegration analysis
Cointegration in panel data with breaks and cross-section dependence
Exchange rate and external reserves in Nigeria: A threshold cointegration analysis
Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries
Panel cointegration testing in the presence of linear time trends
Testing for cointegration with threshold adjustment in the presence of structural breaks
Does trade openness affect economic growth in India? Evidence from threshold cointegration with asymmetric adjustment
Structural breaks, cointegration and the Fisher effect
Panel Cointegration Tests with Deterministic Trends and Structural Breaks
Structural breaks, cointegration and demand for money in Nigeria
Decision maps for bivariate time series with potential threshold cointegration
Technology, human capital and growth: Further evidence from threshold cointegration
Price adjustment in world wine markets: A cointegration analysis
Cointegration in panel data with breaks and cross-section dependence
Exchange rate and external reserves in Nigeria: A threshold cointegration analysis
Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries
Panel cointegration testing in the presence of linear time trends
Testing for cointegration with threshold adjustment in the presence of structural breaks
Does trade openness affect economic growth in India? Evidence from threshold cointegration with asymmetric adjustment
Structural breaks, cointegration and the Fisher effect
Panel Cointegration Tests with Deterministic Trends and Structural Breaks
Structural breaks, cointegration and demand for money in Nigeria
Decision maps for bivariate time series with potential threshold cointegration
Technology, human capital and growth: Further evidence from threshold cointegration
Price adjustment in world wine markets: A cointegration analysis
Cointegration in panel data with breaks and cross-section dependence
Exchange rate and external reserves in Nigeria: A threshold cointegration analysis
Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries