PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts
在Gregory和Hansen（1996）的基础上，提出了一个允许趋势和体制同时转变的更一般模型，并给出了检验该假设的临界值，对从事时间序列计量分析的研究者有用。
ABSTRACT Recently Gregory and Hansen (1996) proposed a number of residual‐based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.