Residual-based tests for cointegration in models with regime shifts
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Recommendations
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Cites work
- A functional central limit theorem for weakly dependent sequences of random variables
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 762936 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Multiple Time Series Regression with Integrated Processes
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for structural breaks in cointegrated relationships
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Time Series Regression with a Unit Root
Cited in
(65)- Tests of cointegrating rank with trend-break
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing for the sustainability of the current account deficit in two industrial countries
- Further evidence on breaking trend functions in macroeconomic variables
- Stability tests in error correction models
- A simple method of testing for cointegration subject to multiple regime changes
- International mobility of capital in the United States: robust evidence from time-series tests
- Nonlinear joint dynamics between prices of crude oil and refined products
- Structural changes in the cointegrated vector autoregressive model
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- Cointegration tests in the presence of structural breaks
- Testing for structural breaks in cointegrated relationships
- Detection of change in persistence of a linear time series
- Do TFP and the relative price of investment share a common I(1) component?
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Cointegration in high frequency data
- 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
- The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Tests for cointegration with structural breaks based on subsamples
- The effects of ignoring level shifts on systems cointegration tests
- Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries
- Structural breaks, tourism development, and economic growth: Evidence from Taiwan
- Testing for cointegration in the presence of mis-specified structural change
- Testing cointegration relationship in a semiparametric varying coefficient model
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing cointegration in quantile regressions with an application to the term structure of interest rates
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Residual-based tests for factorial cointegration: A Monte Carlo study
- Monte Carlo tests of cointegration with structural breaks
- A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
- Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
- BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
- Regime-sensitive cointegration: the relationship between gold and silver
- New Improved Tests for Cointegration with Structural Breaks
- A weighted symmetric cointegration test
- ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
- REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
- Weighted symmetric tests for cointegration based on residual
- A residual-based test of the null of cointegration in panel data
- Inference on segmented cointegration
- Oracle efficient estimation of structural breaks in cointegrating regressions
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
- THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
- Efficient estimation and inference in cointegrating regressions with structural change
- A mixture‐distribution factor model for multivariate outliers
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- A comparison between tests for changes in the adjustment coefficients in cointegrated systems
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Testing the null of cointegration in the presence of a structural break
- Pre-selection in cointegration-based pairs trading
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- A confidence interval test for the detection of structural breaks
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
- An improved density approximation for the Zivot-Andrews test
- A CUSUM test for breaks in fractional cointegration
- The methodological problem of unit roots: stationarity and its consequences in the context of the Tinbergen debate
- Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective
- A Bayesian approach to generating distribution-based signals in pairs trading
- COINT
- Dickey-Fuller cointegration tests in the presence of regime shifts at known time
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