Structural changes in the cointegrated vector autoregressive model

DOI10.1016/S0304-4076(03)00085-XzbMath1013.62112OpenAlexW2090961561MaRDI QIDQ1810669

Peter Reinhard Hansen

Publication date: 9 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00085-x

zbMATH Keywords

cointegrationstructural changesvector autoregressionexpectations hypothesisterm structures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (30)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Structural breaks with deterministic and stochastic trends ⋮ Time-varying cointegration, identification, and cointegration spaces ⋮ Unnamed Item ⋮ A note on tests of partial parameter stability in the cointegrated system ⋮ Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ Reduced-rank regression: a useful determinant identity ⋮ Time-varying cointegration model using wavelets ⋮ Granger's representation theorem: A closed‐form expression for I(1) processes ⋮ 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 ⋮ Expectations hypotheses tests at Long Horizons ⋮ Expectations hypotheses tests at Long Horizons ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ Testing for high-dimensional network parameters in auto-regressive models ⋮ Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change ⋮ A simple GLS procedure for seasonal cointegration ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Speed of adjustment in cointegrated systems ⋮ Dynamic adjustment cost models with forward‐looking behaviour ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity ⋮ Variable selection in panel models with breaks ⋮ Mean-variance cointegration and the expectations hypothesis ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ Testing for parameter instability and structural change in persistent predictive regressions

Cites Work

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