Residual-based tests forcointegration with gradual switching

References

• Bacon , D. W. and Watts , D. G. 1971 . Estimating the transition between two intersecting straight lines . Biometrica , 58 : 525 – 34 .
   Web of Science ®Google Scholar
• Banerjee , A. , Lumsdaine , R. and Stock , J. 1992 . Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 87 .
   Web of Science ®Google Scholar
• Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correction: representation estimation and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Gregory , A. W. and Hansen , B. E. 1996 . Residual-based tests for cointegration in models with regime shifts . Journal of Econometrics , 70 : 99 – 126 .
   Web of Science ®Google Scholar
• Hamilton , J. D. 1994 . Time Series Analysis , New Jersey : Princeton University Press .
   Google Scholar
• Ohtani , K. , Kakimoto , S. and Abe , K. 1990 . A gradual switching regression model with a flexible transition path . Economics Letters , 32 : 43 – 8 .
   Web of Science ®Google Scholar
• Ohtani , K. and Katayama , S. 1985 . An alternative gradual switching regression model and its application . Economic Studies Quarterly , 34 : 148 – 53 .
   Google Scholar
• Tsurumi , H. 1980 . “ A Bayesian estimation of structural shifts by gradual switching regressions with an application to the US gasoline market ” . In Bayesian Analysis in Econometrics and Statistics , Edited by: Zellner , A. 213 – 40 . North-Holland, Amsterdam : Krieger Pub Co Published .
   Google Scholar
• Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .
   Web of Science ®Google Scholar