A two-step procedure for testing partial parameter stability in cointegrated regression models
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Cites work
- A note on tests of partial parameter stability in the cointegrated system
- Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- Distinguishing between trend-break models: method and empirical evidence
- Estimating and Testing Linear Models with Multiple Structural Changes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Inflation and welfare
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing for multiple structural changes in cointegrated regression models
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Time-varying cointegration
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