Cointegration rank switching model: an application to forecasting interest rates (Q3088167): Difference between revisions

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+https://doi.org/10.1002/for.1191
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+W2026440237
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+Testing for the cointegration rank when some cointegrating directions are changing
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+SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM  OF THE INTERCEPT USING AN INFORMATION CRITERION
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+Estimating and Testing Linear Models with Multiple Structural Changes
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+Testing For and Dating Common Breaks in Multivariate Time Series
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+Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
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+Forecasting and testing in co-integrated systems
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+Specification via model selection in vector error correction models
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+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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+Q4195812
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+Testing for two-regime threshold cointegration in vector error-correction models.
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+Some tests for parameter constancy in cointegrated VAR‐models
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+Structural changes in the cointegrated vector autoregressive model
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+Small sample testing for cointegration using the bootstrap approach
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+Tests of cointegrating rank with trend-break
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Cointegration analysis in the presence of structural breaks in the deterministic trend
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+THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
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+Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
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+Forecasting with nonstationary dynamic factor models
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+Stability tests in error correction models
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+VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
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+Testing for the cointegrating rank of a VAR process with a time trend
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+BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
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+Estimating the dimension of a model
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+Nonlinear mean reversion in the term structure of interest rates
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+A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
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+Publication:3088167