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Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

ContributorsNeto, David
Published inEmpirical economics, vol. 49, no. 3, p. 909-928
Publication date2015
First online date2015-01-07
Abstract

This paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321–335, 1992). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland.

eng
Keywords
  • Smooth time-varying cointegration
  • Structural break
  • FMLS
  • Score test
  • FM Wald test
  • FMLS-based CUSUM test
  • Crude oil price and retail price of gasoline
Citation (ISO format)
NETO, David. Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship. In: Empirical economics, 2015, vol. 49, n° 3, p. 909–928. doi: 10.1007/s00181-014-0907-6
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ISSN of the journal0377-7332
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