Allan W. Gregory

TL;DR: In this paper, the authors examine tests for cointegration which allow for the possibility of regime shifts and propose ADF, Z α, Z t and Z t-type tests designed to test the null of no co-integration against the alternative of cointegrations in the presence of a possible regime shift, where the intercept and/or slope coefficients have a single break of unknown timing.

TL;DR: Gregory and Hansen as mentioned in this paper proposed a more general model that permits a trend shift as well as a regime shift and they provided the critical values appropriate for testing this hypothesis, and they considered three models: level shift, level shift with trend, and regime shift (both level and slope coefficients can change).

TL;DR: In this article, the authors investigate the tests of Hansen (1992) to detect structural breaks in cointegrated relations using Monte Carlo methods and show that the ADF test correctly indicates that the constant parameter cointegrating relationship is not appropriate.

TL;DR: Using Kalman filtering and dynamic factor analysis, the authors decompose aggregate output, consumption, and investment for the G7 countries into factors that are common across all countries and aggregates, common across aggregates within a country, and specific to each individual aggregate.

TL;DR: The authors compare the stattstical properties of prices of US Treasury bills to those generated by a theoretical dynamic exchange economy wrth complete markets and show that the model can account for neither the sign nor the magmtude of average risk premiums in forward prices and holding-period returns.