Stability tests in error correction models

DOI10.1016/S0304-4076(97)00059-6zbMath0930.62109OpenAlexW2038777483MaRDI QIDQ1377329

Carmela E. Quintos

Publication date: 13 February 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00059-6

zbMATH Keywords

cointegrationBessel processeserror correctionparameter stabilityreduced rankmisspecification of rank

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

A note on tests of partial parameter stability in the cointegrated system ⋮ Regime-switching cointegration ⋮ Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ TIME-VARYING COINTEGRATION ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ Bayesian inference in a time varying cointegration model ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Comparison of tests for the cointegrating rank of a VAR process with a structural shift ⋮ Testing for the cointegration rank when some cointegrating directions are changing

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