Inference on segmented cointegration

DOI10.1017/S0266466603194078MaRDI QIDQ4561973zbMATH OpenOpenAlexFDO

Authors Jae-Young Kim

Publication date 14 December 2018

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603194078

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Detection of change in persistence of a linear time series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic Econometrics
• Limiting distributions of least squares estimates of unstable autoregressive processes
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• Residual-based tests for cointegration in models with regime shifts
• Structural change in AR(1) models
• Testing For and Dating Common Breaks in Multivariate Time Series
• Testing a time series for difference stationarity
• Testing for a unit root in time series regression
• Threshold Cointegration
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(4)

• Regime-sensitive cointegration: the relationship between gold and silver
• Tests for cointegration with structural breaks based on subsamples
• A test of serial independence of deviations from cointegrating relations
• Panel data segmentation under finite time horizon

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