Regime switching and cointegration tests of the efficiency of futures markets
研究发现现货与期货价格在部分商品市场不协整，本文提出体制转换模型解释这一现象，蒙特卡洛实验表明忽略体制转换会导致协整检验偏差，考虑后无法拒绝长期同向变动的假设。
Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, −1). One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures prices do not move together one-for-one in the long run. To provide an alternative explanation for this finding, this article proposes a regime switching model of spot prices that can be viewed in the same framework as Fama and French (1988). Based on this model, Monte Carlo experiments are performed to show that tests for cointegration and estimates of the cointegrating vector are likely to be biased when a sample contains infrequent changes in regime. Taking these shifts into account, the null hypothesis that spot and futures prices are cointegrated and move together one-for-one in the long run can no longer be rejected. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:871–901, 1998