Search Results - subject:"cointegration test with structural breaks"

Real Oil Prices, Real Economic Activity, Real Interest Rates, and the US Dollar: A Cointegration Analysis with Structural Breaks

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of Reviews on Global Economics 1 (2012), pp. 41-46

with structural breaks to investigate the long-run equilibrium and analyze the short-term Granger causality as well. Our …, and real interest rates during the period 1988:1 to 2011:12. We employ the Gregory and Hansen (1996) cointegration test …

Persistent link: https://www.econbiz.de/10010667376

How Large is the Wealth Effect on Hong Kong¡¦s Consumption? Evidence from a Habit Formation Model of Consumption

Liu, Li-gang; Pauwels, Laurent; Tsang, Andrew - Hong Kong Monetary Authority - 2007

This paper first investigates whether there is a cointegration relationship between Hong Kong¡¦s consumption and wealth using the latest cointegration tests that allow for structural breaks. Our tests show there is only limited empirical support for the existence of a cointegration...

Persistent link: https://www.econbiz.de/10005813731