Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
JOURNAL OF TIME SERIES ANALYSIS(2017)
摘要
We propose a consistent monitoring procedure for structural change in a cointegrating relationship. The procedure is inspired by Chu et al. (1996) by being based on parameter estimation on a prebreak calibration' period. We use three modified least squares estimators to obtain nuisance parameter-free limiting distributions. We study the asymptotic and finite sample properties of the procedures and finally apply the approach to monitor two-fundamentals-driven US housing prices cointegrating relationships over the period 1976:Q1-2010:Q4 using the data of Anundsen (2015). Depending on the relationship considered and the estimation method used, a break point is detected as early as 2003:Q2, that is, well before US housing prices started to fall in 2007.
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关键词
cointegration,monitoring,structural change,US housing market
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