Structural changes in the cointegrated vector autoregressive model
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Publication:1810669
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Cites work
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- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
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- Statistical analysis of cointegration vectors
- Testing for the Constancy of Parameters Over Time
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Tests of cointegrating rank with trend-break
- The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
- The term structure of interest rates in real and monetary economies
Cited in
(39)- Time-varying cointegration model using wavelets
- Nonstationary term premia and cointegration of the term structure
- A note on tests of partial parameter stability in the cointegrated system
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Testing for parameter instability and structural change in persistent predictive regressions
- Testing for high-dimensional network parameters in auto-regressive models
- Variable selection in panel models with breaks
- Evaluating the existence of structural change in the Brazilian term structure of interest rate: evidence based on Hansen's cointegration models with structural break
- A simple GLS procedure for seasonal cointegration
- Modelling structural breaks, long memory and stock market volatility: an overview
- Structural breaks with deterministic and stochastic trends
- Structural change in AR(1) models
- Clive W. J. Granger and cointegration
- Cointegration rank switching model: an application to forecasting interest rates
- Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
- Time-varying cointegration
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- Mean-variance cointegration and the expectations hypothesis
- Efficient estimation and inference in cointegrating regressions with structural change
- Expectations hypotheses tests at Long Horizons
- Expectations hypotheses tests at Long Horizons
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Dynamic adjustment cost models with forward‐looking behaviour
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Granger's representation theorem: A closed‐form expression for I(1) processes
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- In-fill asymptotic theory for structural break point in autoregressions
- Time-varying cointegration, identification, and cointegration spaces
- 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
- Adaptive Testing for Cointegration With Nonstationary Volatility
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
- Time-varying vector error-correction models: estimation and inference
- Stability between cryptocurrency prices and the term structure
- Multiple structural breaks in vector error correction models
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Speed of adjustment in cointegrated systems
- Reduced-rank regression: a useful determinant identity
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