{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,6,13]],"date-time":"2024-06-13T07:10:51Z","timestamp":1718262651664},"reference-count":49,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2010,10,13]],"date-time":"2010-10-13T00:00:00Z","timestamp":1286928000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Empir Econ"],"published-print":{"date-parts":[[2011,12]]},"DOI":"10.1007\/s00181-010-0401-8","type":"journal-article","created":{"date-parts":[[2010,10,13]],"date-time":"2010-10-13T18:25:31Z","timestamp":1286994331000},"page":"639-662","source":"Crossref","is-referenced-by-count":5,"title":["Cointegration tests under multiple regime shifts: An application to the stock price\u2013dividend relationship"],"prefix":"10.1007","volume":"41","author":[{"given":"Vasco J.","family":"Gabriel","sequence":"first","affiliation":[]},{"given":"Luis F.","family":"Martins","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2010,10,13]]},"reference":[{"key":"401_CR1","doi-asserted-by":"crossref","first-page":"953","DOI":"10.2307\/2951574","volume":"60","author":"DWK Andrews","year":"1992","unstructured":"Andrews DWK, Monahan JC (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60: 953\u2013966","journal-title":"Econometrica"},{"key":"401_CR2","unstructured":"Barberis N, Thaler R (2003) A survey of behavioral finance. In: Constantinides G, Harris M, Stultz R (eds) Handbook of the economics of finance, chap 18, vol 1. Elsevier North-Holland, Amsterdam, pp 1053\u20131128"},{"issue":"5","key":"401_CR3","doi-asserted-by":"crossref","first-page":"1453","DOI":"10.1017\/S0266466609990648","volume":"26","author":"H Bierens","year":"2010","unstructured":"Bierens H, Martins LF (2010) Time varying cointegration. Econom Theory 26(5): 1453\u20131490","journal-title":"Econom Theory"},{"key":"401_CR4","doi-asserted-by":"crossref","first-page":"208","DOI":"10.1016\/S1062-9769(03)00044-9","volume":"44","author":"MT Bohl","year":"2004","unstructured":"Bohl MT, Siklos PL (2004) The present value model of U.S. stock prices redux: a new testing strategy and some evidence. Q Rev Econ Finance 44: 208\u2013223","journal-title":"Q Rev Econ Finance"},{"key":"401_CR5","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1002\/jae.3950090103","volume":"9","author":"M Bonomo","year":"1994","unstructured":"Bonomo M, Garcia R (1994) Can a well-fitted equilibrium asset-pricing model produce mean reversion?. J Appl Econom 9: 19\u201329","journal-title":"J Appl Econom"},{"key":"401_CR6","doi-asserted-by":"crossref","first-page":"331","DOI":"10.1198\/073500101681019981","volume":"19","author":"J Breitung","year":"2001","unstructured":"Breitung J (2001) Rank Tests for nonlinear cointegration. J Bus Econ Stat 19: 331\u2013340","journal-title":"J Bus Econ Stat"},{"key":"401_CR7","unstructured":"Campbell JY (1999) Asset prices, consumption, and the business cycle. In: Taylor JB, Woodford M (eds) Handbook of macroeconomics, chap 19, vol 1. Elsevier, pp 1231\u20131303"},{"key":"401_CR8","doi-asserted-by":"crossref","first-page":"1062","DOI":"10.1086\/261502","volume":"95","author":"JY Campbell","year":"1987","unstructured":"Campbell JY, Shiller RJ (1987) Cointegration and tests of present value models. J Polit Econ 95: 1062\u20131088","journal-title":"J Polit Econ"},{"key":"401_CR9","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1093\/rfs\/1.3.195","volume":"1","author":"JY Campbell","year":"1988","unstructured":"Campbell JY, Shiller RJ (1988) The dividend-price ratio and the expectations of future dividends and discount factors. Rev Financ Stud 1: 195\u2013228","journal-title":"Rev Financ Stud"},{"key":"401_CR10","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1016\/0304-4076(94)01689-5","volume":"70","author":"J Campos","year":"1996","unstructured":"Campos J, Ericsson NR, Hendry DF (1996) Cointegration tests in the presence of structural breaks. J Econom 70: 187\u2013220","journal-title":"J Econom"},{"key":"401_CR11","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/j.rfe.2003.09.009","volume":"13","author":"GM Caporale","year":"2004","unstructured":"Caporale GM, Gil-Alana LA (2004) Fractional cointegration and tests of present value models. Rev Financ Econ 13: 245\u2013258","journal-title":"Rev Financ Econ"},{"key":"401_CR12","doi-asserted-by":"crossref","first-page":"357","DOI":"10.1016\/S0304-3932(98)00021-X","volume":"42","author":"J Driffill","year":"1998","unstructured":"Driffill J, Sola M (1998) Intrinsic bubbles and regime-switching. J Monet Econ 42: 357\u2013373","journal-title":"J Monet Econ"},{"key":"401_CR13","doi-asserted-by":"crossref","first-page":"745","DOI":"10.1086\/260900","volume":"88","author":"RP Flood","year":"1980","unstructured":"Flood RP, Garber PM (1980) Market fundamentals versus price-level bubbles: the first tests. J Polit Econ 88: 745\u2013770","journal-title":"J Polit Econ"},{"key":"401_CR14","first-page":"1189","volume":"81","author":"K Froot","year":"1991","unstructured":"Froot K, Obstfeld M (1991) Intrinsic bubbles: the case of stock prices. Am Econ Rev 81: 1189\u20131214","journal-title":"Am Econ Rev"},{"key":"401_CR15","doi-asserted-by":"crossref","first-page":"587","DOI":"10.1007\/s001810100104","volume":"27","author":"Y Fukuta","year":"2002","unstructured":"Fukuta Y (2002) A test for rational bubbles in stock prices. Empir Econ 27: 587\u2013600","journal-title":"Empir Econ"},{"key":"401_CR16","doi-asserted-by":"crossref","first-page":"455","DOI":"10.1111\/j.1368-423X.2004.00139.x","volume":"7","author":"VJ Gabriel","year":"2004","unstructured":"Gabriel VJ, Martins LF (2004) On the forecasting ability of ARFIMA models when infrequent breaks occur. Econom J 7: 455\u2013475","journal-title":"Econom J"},{"key":"401_CR17","doi-asserted-by":"crossref","unstructured":"Granger CWJ (2008) Non-linear models: Where do we go next-time varying parameter models? Stud Nonlinear Dyn Econom 12(3):Article 1","DOI":"10.2202\/1558-3708.1639"},{"key":"401_CR18","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/0304-4076(69)41685-7","volume":"70","author":"AW Gregory","year":"1996","unstructured":"Gregory AW, Hansen BE (1996) Residual-based tests for cointegration in models with regime shifts. J Econom 70: 99\u2013126","journal-title":"J Econom"},{"key":"401_CR19","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/0304-4076(96)84508-8","volume":"71","author":"AW Gregory","year":"1996","unstructured":"Gregory AW, Nason JM, Watt PG (1996) Testing for structural breaks in cointegrated relationships. J Econom 71: 321\u2013341","journal-title":"J Econom"},{"key":"401_CR20","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1002\/(SICI)1099-1255(199703)12:2<151::AID-JAE424>3.0.CO;2-J","volume":"12","author":"SG Hall","year":"1997","unstructured":"Hall SG, Psaradakis Z, Sola M (1997) Cointegration and changes in regime: the Japanese consumption function. J Appl Econom 12: 151\u2013168","journal-title":"J Appl Econom"},{"key":"401_CR21","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1002\/(SICI)1099-1255(199903\/04)14:2<143::AID-JAE500>3.0.CO;2-X","volume":"14","author":"SG Hall","year":"1999","unstructured":"Hall SG, Psaradakis Z, Sola M (1999) Detecting periodically collapsing bubbles: a Markov switching unit root test. J Appl Econom 14: 143\u2013154","journal-title":"J Appl Econom"},{"key":"401_CR22","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/S0165-1765(97)00245-0","volume":"37","author":"S Hamori","year":"1997","unstructured":"Hamori S, Tokihisa A (1997) Testing for a unit root in the presence of a variance shift. Econ Lett 37: 245\u2013253","journal-title":"Econ Lett"},{"key":"401_CR23","doi-asserted-by":"crossref","first-page":"321","DOI":"10.2307\/1391545","volume":"10","author":"BE Hansen","year":"1992","unstructured":"Hansen BE (1992) Tests for parameter instability in regressions with I(1) processes. J Bus Econ Stat 10: 321\u2013335","journal-title":"J Bus Econ Stat"},{"key":"401_CR24","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1093\/oso\/9780198773917.003.0005","volume-title":"Non-stationary time series analysis and cointegration.","author":"Harris","year":"1994","unstructured":"Harris , D , Inder B (1994) A test of the null of cointegration. In: Hargreaves C (ed) Non-stationary time series analysis and cointegration. Oxford University Press, Oxford, pp 133\u2013152"},{"key":"401_CR25","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1080\/1350485022000044020","volume":"10","author":"A Kanas","year":"2003","unstructured":"Kanas A (2003) Non-linear cointegration between stock prices and dividends. Appl Econ Lett 10: 401\u2013405","journal-title":"Appl Econ Lett"},{"key":"401_CR26","doi-asserted-by":"crossref","first-page":"365","DOI":"10.1016\/S0304-4076(02)00118-5","volume":"109","author":"T-H Kim","year":"2002","unstructured":"Kim T-H, Leybourne SJ, Newbold P (2002) Unit root tests with a break in variance. J Econom 109: 365\u2013387","journal-title":"J Econom"},{"key":"401_CR27","volume-title":"Statistical analysis of cointegrated VAR processes with Markovian shifts, manuscript","author":"H-M Krolzig","year":"1997","unstructured":"Krolzig H-M (1997) Statistical analysis of cointegrated VAR processes with Markovian shifts, manuscript. University of Oxford, Oxford"},{"key":"401_CR28","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/0304-4076(92)90104-Y","volume":"54","author":"D Kwiatkowski","year":"1992","unstructured":"Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root?. J Econom 54: 159\u2013178","journal-title":"J Econom"},{"key":"401_CR29","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1016\/S0165-1765(97)00073-6","volume":"55","author":"J Lee","year":"1997","unstructured":"Lee J, Huang CJ, Shin Y (1997) On stationarity tests in the presence of structural breaks. Econ Lett 55: 165\u2013172","journal-title":"Econ Lett"},{"key":"401_CR30","doi-asserted-by":"crossref","first-page":"555","DOI":"10.2307\/1911512","volume":"49","author":"SH LeRoy","year":"1981","unstructured":"LeRoy SH, Porter RD (1981) The present-value relation: tests based on implied variance bounds. Econometrica 49: 555\u2013574","journal-title":"Econometrica"},{"key":"401_CR31","doi-asserted-by":"crossref","first-page":"264","DOI":"10.2307\/1392481","volume":"17","author":"SJ Leybourne","year":"1999","unstructured":"Leybourne SJ, McCabe BPM (1999) Modified stationarity tests with data-dependent model-selection rules. J Bus Econ Stat 17: 264\u2013270","journal-title":"J Bus Econ Stat"},{"key":"401_CR32","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/1368-423X.00036","volume":"3","author":"SJ Leybourne","year":"2000","unstructured":"Leybourne SJ, Newbold P (2000) Behavior of the standard and symmetric Dickey\u2013Fuller-type tests when there is a break under the null hypothesis. Econom J 3: 1\u201345","journal-title":"Econom J"},{"key":"401_CR33","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1016\/S0304-4076(98)00014-1","volume":"87","author":"SJ Leybourne","year":"1998","unstructured":"Leybourne SJ, Mills TC, Newbold P (1998) Spurious rejections by Dickey\u2013Fuller tests in the presence of a break under the null. J Econ 87: 191\u2013203","journal-title":"J Econ"},{"key":"401_CR34","doi-asserted-by":"crossref","first-page":"395","DOI":"10.1111\/1467-9892.00058","volume":"18","author":"BPM McCabe","year":"1997","unstructured":"McCabe BPM, Leybourne SJ, Shin Y (1997) A parametric approach to testing for the null of cointegration. J Time Ser Anal 18: 395\u2013413","journal-title":"J Time Ser Anal"},{"key":"401_CR35","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1016\/j.econlet.2003.10.014","volume":"84","author":"DG McMillan","year":"2004","unstructured":"McMillan DG (2004) Nonlinear predictability of short-run deviations in UK stock market returns. Econ Lett 84: 149\u2013154","journal-title":"Econ Lett"},{"key":"401_CR36","doi-asserted-by":"crossref","first-page":"404","DOI":"10.1198\/07350010152596655","volume":"19","author":"CR Nelson","year":"2001","unstructured":"Nelson CR, Piger J, Zivot E (2001) Markov regime-switching and unit root tests. J Bus Econ Stat 19: 404\u2013415","journal-title":"J Bus Econ Stat"},{"key":"401_CR37","doi-asserted-by":"crossref","first-page":"664","DOI":"10.1017\/S0266466699155026","volume":"15","author":"JY Park","year":"1999","unstructured":"Park JY, Hahn SB (1999) Cointegrating regressions with time varying coefficients. Econom Theory 15: 664\u2013703","journal-title":"Econom Theory"},{"key":"401_CR38","doi-asserted-by":"crossref","first-page":"1361","DOI":"10.2307\/1913712","volume":"57","author":"P Perron","year":"1989","unstructured":"Perron P (1989) The great crash, the oil-price shock, and the unit root hypothesis. Econometrica 57: 1361\u20131401","journal-title":"Econometrica"},{"key":"401_CR39","doi-asserted-by":"crossref","first-page":"165","DOI":"10.2307\/2938339","volume":"58","author":"PCB Phillips","year":"1990","unstructured":"Phillips PCB, Ouliaris S (1990) Asymptotic properties of residual-based tests for cointegration. Econometrica 58: 165\u2013193","journal-title":"Econometrica"},{"key":"401_CR40","doi-asserted-by":"crossref","first-page":"226","DOI":"10.1111\/1368-423X.00064","volume":"4","author":"Z Psaradakis","year":"2001","unstructured":"Psaradakis Z (2001) Markov level shifts and the unit-root hypothesis. Econom J 4: 226\u2013242","journal-title":"Econom J"},{"key":"401_CR41","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1016\/S0167-7152(02)00063-9","volume":"57","author":"Z Psaradakis","year":"2002","unstructured":"Psaradakis Z (2002) On the asymptotic behaviour of unit-root tests in the presence of a Markov trend. Stat Probab Lett 57: 101\u2013109","journal-title":"Stat Probab Lett"},{"key":"401_CR42","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1002\/jae.729","volume":"19","author":"Z Psaradakis","year":"2004","unstructured":"Psaradakis Z, Sola M, Spagnolo F (2004) On Markov error-correction models, with an application to stock prices and dividends. J Appl Econom 19: 69\u201388","journal-title":"J Appl Econom"},{"key":"401_CR43","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1017\/S0266466600004217","volume":"7","author":"P Saikkonen","year":"1991","unstructured":"Saikkonen P (1991) Asymptotically efficient estimation of cointegrating regressions. Econom Theory 7: 1\u201321","journal-title":"Econom Theory"},{"key":"401_CR44","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1017\/S0266466604202031","volume":"20","author":"P Saikkonen","year":"2004","unstructured":"Saikkonen P, Choi I (2004) Cointegrating smooth transition regressions. Econom Theory 20: 301\u2013340","journal-title":"Econom Theory"},{"key":"401_CR45","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1002\/jae.787","volume":"20","author":"L Sarno","year":"2005","unstructured":"Sarno L, Valente G (2005) Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. J Appl Econom 20: 345\u2013376","journal-title":"J Appl Econom"},{"key":"401_CR46","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1080\/096031097333745","volume":"7","author":"H Schaller","year":"1997","unstructured":"Schaller H, Van Norden S (1997) Regime switching in stock markets returns. Appl Financ Econ 7: 177\u2013191","journal-title":"Appl Financ Econ"},{"key":"401_CR47","first-page":"421","volume":"71","author":"RJ Shiller","year":"1981","unstructured":"Shiller RJ (1981) Do stock prices move too much to be justified by subsequent changes in dividends?. Am Econ Rev 71: 421\u2013436","journal-title":"Am Econ Rev"},{"key":"401_CR48","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1017\/S0266466600008240","volume":"10","author":"Y Shin","year":"1994","unstructured":"Shin Y (1994) A residual-based test of the null of cointegration against the alternative of no cointegration. Econom Theory 10: 91\u2013115","journal-title":"Econom Theory"},{"key":"401_CR49","doi-asserted-by":"crossref","first-page":"639","DOI":"10.2307\/2328188","volume":"43","author":"KD West","year":"1988","unstructured":"West KD (1988) Bubbles, fads and stock price volatility tests: a partial evaluation. J Finance 43: 639\u2013655","journal-title":"J Finance"}],"container-title":["Empirical Economics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00181-010-0401-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00181-010-0401-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00181-010-0401-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,31]],"date-time":"2024-03-31T10:27:47Z","timestamp":1711880867000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00181-010-0401-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,10,13]]},"references-count":49,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2011,12]]}},"alternative-id":["401"],"URL":"https:\/\/doi.org\/10.1007\/s00181-010-0401-8","relation":{},"ISSN":["0377-7332","1435-8921"],"issn-type":[{"value":"0377-7332","type":"print"},{"value":"1435-8921","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,10,13]]}}}