Tests for Cointegration in Models with Regime and Trend Shifts

By Allan W. Gregory, B. E. Hansen. 2009

397 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/84350a0cae92b0f2427cf28e82f3983833ef16f6

How researchers see this paper

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In Economics and Econometrics

1. K. Kanjilal
2. Sajal Ghosh
3. Muhammad Shahbaz
4. Ilhan Ozturk
5. Avik Sinha
6. Anis Omri
7. Auguste K. Kouakou
8. Hooi Hooi Lean

In Finance

1. K. Kanjilal
2. Sajal Ghosh

Citations in the corpus

• Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2016, positive): “The article uses threshold cointegration of Gregory and Hansen (1996) and Hatemi-J (2008) to investigate possible endogenous regime shifts or nonlinearity in the relationship of stock market, oil price and exchange rate.”