Please use this identifier to cite or link to this item: http://hdl.handle.net/10071/6880
Author(s): Gabriel, V. J.
Martins, L. F.
Date: 2011
Title: Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship
Number: 3
Pages: 639-662
ISSN: 0377-7332
Keywords: Present value model
Cointegration tests
Markov switching
Abstract: 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.
Peerreviewed: Sim
Access type: Embargoed Access
Appears in Collections:DMQGE-RI - Artigos em revistas internacionais com arbitragem científica

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