TY - JOUR
T1 - Instability in cointegration regressions
T2 - A brief review with an application to money demand in Portugal
AU - Gabriel, Vasco J C R
AU - da Silva Lopes, Artur C B
AU - Nunes, Luis C.
PY - 2003/5/20
Y1 - 2003/5/20
N2 - This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
AB - This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
UR - http://www.scopus.com/inward/record.url?scp=0038007961&partnerID=8YFLogxK
U2 - 10.1080/0003684022000018187
DO - 10.1080/0003684022000018187
M3 - Article
AN - SCOPUS:0038007961
SN - 0003-6846
VL - 35
SP - 893
EP - 900
JO - Applied Economics
JF - Applied Economics
IS - 8
ER -