Suppose, we assume that the cointegral relationship may be affected by regime( political or any change). Is there any test or methodology that we can handle this change?
Probably the best, to help is focusing in the human rights dialectic methodology wich involve real democracy in all relationships
How about the Markov switching regime model proposed by Hamilton?
As suggested by Kotosz, you should use unit root tests with structural change (ZA (Zivot and Andrews, 1992) and Perron (1997)). If the variables investigated show the possible existence of trend and structural breaks, in this case, in addition to standard tests, you use the endogenous breakpoint unit root tests of Zivot and Andrews (1992) and Perron (1997).
you may apply Dynamic OLS or Fully Modified OLS, if the diagnostics tests validate your model
Thank you Balazs Kotosz and Mounir Belloumi.
I have solved the problem.
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