Testing for structural breaks in cointegrated relationships

DOI10.1016/0304-4076(96)84508-8zbMath0850.62900MaRDI QIDQ1915456

James M. Nason, Allan W. Gregory, David G. Watt

Publication date: 17 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(96)84508-8

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Testing for structural change in cointegrated regression models: some comparisons and generalizations, The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors, Efficient estimation and inference in cointegrating regressions with structural change, A comparison between tests for changes in the adjustment coefficients in cointegrated systems, Test for partial parameter instability in regressions with \(I(1)\) processes, Stability tests in error correction models, A simple method of testing for cointegration subject to multiple regime changes, Residual-based tests for cointegration in models with regime shifts, A note on tests of partial parameter stability in the cointegrated system, Methods of analyzing nonstationary time series with implicit changes in their properties, Testing for cointegration in the presence of mis-specified structural change, Simulation experiments on the performance of structural change tests in cointegration

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