Work

Instability in cointegration regressions: a brief review with an application to money demand in Portugal

Year: 2003

Type: article

Abstract: 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.

Source: Applied Economics

DOI: 10.1080/0003684022000018187

Authors: Vasco J. C. R. De A. Gabriel, Artur C. B. Da Silva Lopes, Luis C. Nunes

Institutions: University of Minho, Universidade Técnica de Lisboa, Universidade Nova de Lisboa

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2006416050

FWCI: 3.36

Cites: 23

Cited by: 14

Related to: 10