Skip to main content
Article thumbnail
Location of Repository

Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption

By Phillip Kostov and John Lingard


The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published

Topics: G300
Publisher: Philip Kostov
OAI identifier:
Provided by: CLoK

Suggested articles


  1. (1999). A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test”, doi
  2. (1994). A consistent test for a unit root,”
  3. (2002). A Markov–Switching Vector Equilibrium
  4. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle, doi
  5. (2000). A preference model of bull and bear markets’, doi
  6. (1996). A theory of co-breaking.
  7. (1997). An introduction to stochastic unit-root processes, doi
  8. (1998). Approximations to the asymptotic distribution of cointegration tests,
  9. (1998). Asymptotic null distribution of the likelihood ratio test in Markov switching models. doi
  10. (2000). Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. doi
  11. (1979). Distribution of estimators for autoregressive time series with a unit root,
  12. (1994). Dynamic linear models with Markov-switching. doi
  13. (1996). Efficient Tests for an Autoregressive Unit Root, doi
  14. (1996). Erratum: the likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP. doi
  15. (1998). Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. doi
  16. (1977). Hypothesis testing when a nuisance parameter is present only under the alternative.
  17. (1995). Identifiability of Cointegrated Systems.
  18. (1996). Impulse response analysis in nonlinear multivariate models.
  19. (1996). Inference when a nuisance parameter is not identified under the null. doi
  20. (1980). Macroeconomics and reality. doi
  21. (2001). Markov Regime Switching and Unit-Root Tests, doi
  22. (1997). Markov Switching Vector Autoregressions. Modelling, Statistical Inference and Application to Business Cycle Analysis.
  23. (1990). Maximum Likelihood Estimation and Inference on Cointegration - With Application to the Demand for Money, doi
  24. (1987). Non–gaussian state–space modeling of nonstationary time series.
  25. (1999). Nonlinear time series modelling: an introduction, doi
  26. (2000). Nonlinear Time Series Models in Empirical Finance, Cambridge:
  27. (1996). Randomized unit root processes for modelling and forecasting financial time series: Theory and application,
  28. (1998). Regime switches in interest rates. Research paper 1486,
  29. (2003). Regime-dependent impulse response functions in a Markov-Switching Vector Autoregression Model,
  30. (2002). Restricting Growth Rates in Cointegrated VAR Models. Revised version of Discussion Papers 309, Statistics Norway.
  31. (1995). Rethinking the univariate approach to unit root testing: using covariates to increase power. doi
  32. (1999). State-Space Models with Regime Switching,
  33. (1993). Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models,” doi
  34. (1988). Testing for a Unit Root in Time Series Regression, doi
  35. (2002). Testing for Cobreaking and Superexogeneity
  36. (1999). Testing for Linearity, doi
  37. (2000). Testing for stationarity in heterogeneous panel data, doi
  38. (2000). Testing for the Cointegrating Rank of a VAR Process with Structural Shifts.
  39. (2003). Testing for Unit Roots in Heterogeneous Panels”, doi
  40. (2003). Testing for Unit Roots with Stationary Covariates,
  41. (1992). Testing the Null of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?”
  42. (1989). The great crash, the oil price shock, and the unit root hypothesis, doi
  43. (1992). The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP. doi
  44. (2000). The Local Power of Some Unit Root Tests for Panel Data”,
  45. (1994). Time Series Analysis. doi
  46. (2001). Unit Root Tests for Panel Data”,
  47. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Prosperities”,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.