Hall, Stephen G; Psaradakis, Zacharias; Sola, Martin - In: Journal of Applied Econometrics 12 (1997) 2, pp. 151-68
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...