Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
提出一种在协整关系中监测结构变化的一致方法，基于预断裂校准期的参数估计，并应用于1976-2010年美国住房价格数据，发现早在2003年第二季度就出现断裂点。
We propose a consistent monitoring procedure for structural change in a cointegrating relationship. The procedure is inspired by Chu et al. (1996) by being based on parameter estimation on a prebreak ‘calibration’ period. We use three modified least squares estimators to obtain nuisance parameter‐free limiting distributions. We study the asymptotic and finite sample properties of the procedures and finally apply the approach to monitor two‐fundamentals‐driven US housing prices cointegrating relationships over the period 1976:Q1–2010:Q4 using the data of Anundsen (2015). Depending on the relationship considered and the estimation method used, a break point is detected as early as 2003:Q2, that is, well before US housing prices started to fall in 2007.