Pages that link to "Item:Q1810669"

The following pages link to Structural changes in the cointegrated vector autoregressive model (Q1810669):

Displaying 27 items.

• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• Structural breaks with deterministic and stochastic trends (Q265106) (← links)
• Testing for co-integration in vector autoregressions with non-stationary volatility (Q736551) (← links)
• Speed of adjustment in cointegrated systems (Q736565) (← links)
• Reduced-rank regression: a useful determinant identity (Q928904) (← links)
• Time-varying cointegration model using wavelets (Q1726797) (← links)
• A note on tests of partial parameter stability in the cointegrated system (Q1934806) (← links)
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions (Q2000873) (← links)
• Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
• Testing for high-dimensional network parameters in auto-regressive models (Q2283570) (← links)
• Variable selection in panel models with breaks (Q2323384) (← links)
• A simple GLS procedure for seasonal cointegration (Q2515862) (← links)
• (Q2971499) (← links)
• Cointegration rank switching model: an application to forecasting interest rates (Q3088167) (← links)
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (Q3615086) (← links)
• TIME-VARYING COINTEGRATION (Q4933586) (← links)
• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (Q4979108) (← links)
• Mean-variance cointegration and the expectations hypothesis (Q5247279) (← links)
• Efficient estimation and inference in cointegrating regressions with structural change (Q5430499) (← links)
• Expectations hypotheses tests at Long Horizons (Q5433623) (← links)
• Expectations hypotheses tests at Long Horizons (Q5433624) (← links)
• Testing for the Null Hypothesis of Cointegration with a Structural Break (Q5436947) (← links)
• Dynamic adjustment cost models with forward‐looking behaviour (Q5469918) (← links)
• Granger's representation theorem: A closed‐form expression for I(1) processes (Q5706716) (← links)
• Time-varying cointegration, identification, and cointegration spaces (Q5881687) (← links)
• Johansen‐type cointegration tests with a Fourier function (Q6134632) (← links)
• Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors (Q6139261) (← links)