Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

Abstract

This paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321–335, 1992). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland.