Answers are grounded in this paper and cite their sources.
Recently Gregory and Hansen (1996) proposed a number of residual‐based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.
No takes yet. Share an insight, caveat, or question.
Gregory et al. (1996) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: