Residual-based tests forcointegration with gradual switching

Abstract

In this article, we propose residual-based tests for cointegration in models with gradual switching. The cointegration test proposed by Gregory and Hansen (1996) is employed to consider the structural break. However, this test has not been considered in the case of gradual switching. Therefore, we extend this test by considering gradual switching. We derive the asymptotic distribution and critical values of the test statistics.