1997
DOI: 10.1002/(sici)1099-1255(199703)12:2<151::aid-jae424>3.0.co;2-j
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Cointegration and Changes in Regime: The Japanese Consumption Function

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Cited by 56 publications
(36 citation statements)
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“…4 The existing literature on cointegration and 'structural'breaks has essentially focused on developing procedures to detect breaks or to estimate the temporal location of eventual parameter shifts (see, for example, Hansen, 1992a, Quintos, 1997, Seo, 1998, Hansen and Johansen, 1999and Lutkepohl, Saikkonen, and Trenkler, 2003. Nevertheless, a few modelling devices that take into account temporary or permanent, smooth or dramatic shifts in economic cointegrated relationships have also been considered: 'threshold'cointegration as in Blake and Fomby (1997), where the equilibrium error follows a threshold autoregression that is meanreverting outside a given range and has a unit root inside the range; 'Markov-switching' cointegration as in Hall, Psaradakis, and Sola (1997) We pursue an alternative, ‡exible approach, along the lines of Psaradakis, Sola and Spagnolo (2004). Let Y t = (y t ; X 0 t ) 0 with Y t 2 < k ; y t 2 < and X t 2 < k 1 : In its triangular representation, the model is de…ned as…”
Section: Setupmentioning
confidence: 99%
“…4 The existing literature on cointegration and 'structural'breaks has essentially focused on developing procedures to detect breaks or to estimate the temporal location of eventual parameter shifts (see, for example, Hansen, 1992a, Quintos, 1997, Seo, 1998, Hansen and Johansen, 1999and Lutkepohl, Saikkonen, and Trenkler, 2003. Nevertheless, a few modelling devices that take into account temporary or permanent, smooth or dramatic shifts in economic cointegrated relationships have also been considered: 'threshold'cointegration as in Blake and Fomby (1997), where the equilibrium error follows a threshold autoregression that is meanreverting outside a given range and has a unit root inside the range; 'Markov-switching' cointegration as in Hall, Psaradakis, and Sola (1997) We pursue an alternative, ‡exible approach, along the lines of Psaradakis, Sola and Spagnolo (2004). Let Y t = (y t ; X 0 t ) 0 with Y t 2 < k ; y t 2 < and X t 2 < k 1 : In its triangular representation, the model is de…ned as…”
Section: Setupmentioning
confidence: 99%
“…In this section, and following Hall et al (1997), we propose to use a more general type of cointegration, where the cointegrating vector is allowed to undergo occasional changes, which may be the result of sudden changes in policy, economic conditions, technology or institutions.…”
Section: Fiscal Sustainability Under Markov Switching Regime Changesmentioning
confidence: 99%
“…Given their ‡exibility, it would be natural to extend their use to model changes in long run relationships. Hall et al (1997) and Krolzig (1997), for example, illustrate the usefulness of such a speci…cation by analysing the Japanese consumption function and comovements in international business cycles, respectively. The Markov switching cointegration approach is also related, from a methodological point of view, with the work of Hansen (2003), as this author generalizes Johansen's cointegrated VAR model by allowing for structural breaks.…”
Section: Introductionmentioning
confidence: 99%
“…A suitable framework for this analysis is to allow the long-run relationship to undergo occasional discrete shifts of the Markovswitching type, as suggested by Hall et al (1997). Also, as Fig.…”
Section: Usa Datamentioning
confidence: 99%