Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

被引：3

作者：

Neto, David ^{[1
]}

机构：

[1] Univ Geneva, Geneva, Switzerland

来源：

EMPIRICAL ECONOMICS | 2015年 / 49卷 / 03期

关键词：

Smooth time-varying cointegration; Structural break; FMLS; Score test; FM Wald test; FMLS-based CUSUM test; Crude oil price and retail price of gasoline; UNIT-ROOT; STATISTICAL-INFERENCE; GREAT CRASH; REGRESSIONS; SHOCK;

D O I：

10.1007/s00181-014-0907-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321-335, 1992). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland.

引用

页码：909 / 928

页数：20