Some tests for parameter constancy in cointegrated VAR‐models
From MaRDI portal
Publication:4488945
DOI10.1111/1368-423X.00035zbMath0982.62072OpenAlexW2106972544MaRDI QIDQ4488945
Henrik Hansen, Søren Glud Johansen
Publication date: 7 April 2002
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00035
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Related Items (36)
Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Structural breaks with deterministic and stochastic trends ⋮ Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY ⋮ ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ Purchasing power parity between the UK and Germany: the euro era ⋮ The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective ⋮ Influential observations in cointegrated VAR models: Danish money demand 1973–2003 ⋮ International mobility of capital in the United States: robust evidence from time-series tests ⋮ Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ Detecting capital market convergence clubs ⋮ Interest rate pass-through: a nonlinear vector error-correction approach ⋮ The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach ⋮ The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models ⋮ On the usability of the fluctuation test statistic to identify multiple cointegration break points ⋮ 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 ⋮ ‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets ⋮ The transmission of shocks between Europe, Japan and the United States ⋮ Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change ⋮ A comparison between tests for changes in the adjustment coefficients in cointegrated systems ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 ⋮ Structural changes in the cointegrated vector autoregressive model ⋮ Natural rate doubts ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation ⋮ HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR ⋮ A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates ⋮ Time-varying cointegration and the Kalman filter ⋮ Reduced rank regression in cointegrated models. ⋮ Testing for the cointegration rank when some cointegrating directions are changing
Uses Software
This page was built for publication: Some tests for parameter constancy in cointegrated VAR‐models
