COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION
提出一种允许长期参数在不同协整体制间切换的模型，并用日本消费与可支配收入数据验证，发现数据更支持马尔可夫切换的长期关系而非传统稳定形式。
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and find that the data favour a Markov-switching long-run relationship over a standard temporally stable formulation. © 1997 by John Wiley & Sons, Ltd.