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COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION

โœ Scribed by STEPHEN G. HALL; ZACHARIAS PSARADAKIS; MARTIN SOLA

Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
256 KB
Volume
12
Category
Article
ISSN
0883-7252

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โœฆ Synopsis

In this paper we examine a model of cointegration where long-run parameters are subject to switching between several dierent cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and ยฎnd that the data favour a Markov-switching long-run relationship over a standard temporally stable formulation.

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