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Stephen G. Hall
;
Zacharias Psaradakis
;
Martin Sola

cointegration and changes in regime: the japanese consumption function (replication data)

In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different 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 find that the data favour a Markov-switching long-run relationship over a standard temporally stable formulation.

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Hall, Stephen G.; Psaradakis, Zacharias; Sola, Martin (1997): COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022313.1256286321

Related Publication

HALL, S., PSARADAKIS, Z. and SOLA, M. (1997), Cointegration And Changes In Regime: The Japanese Consumption Function, Journal of Applied Econometrics, 12(2), 151-168. https://doi.org/10.1002/(sici)1099-1255(199703)12:2<151::aid-jae424>3.0.co;2-j

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