Cointegration tests in the presence of structural breaks
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Recommendations
- Testing the null of cointegration in the presence of a structural break
- Testing for the Null Hypothesis of Cointegration with a Structural Break
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- Tests for cointegration with structural breaks based on subsamples
- New Improved Tests for Cointegration with Structural Breaks
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Monte Carlo tests of cointegration with structural breaks
Cites work
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- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3196612 (Why is no real title available?)
- A Note on the Generation of Random Normal Deviates
- Asymptotic Properties of Residual Based Tests for Cointegration
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- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Cointegration in partial systems and the efficiency of single-equation analysis
- Cointegration tests in the presence of structural breaks
- Comparison of k-Class Estimators When the Disturbances Are Small
- Constructive data mining: modeling consumers' expenditurein Venezuela
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Econometric Estimators and the Edgeworth Approximation
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Exogeneity
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
- On Stochastic Limit and Order Relationships
- Optimal Inference in Cointegrated Systems
- Regression Theory for Near-Integrated Time Series
- Residual-based tests for cointegration in models with regime shifts
- Some Tests of Dynamic Specification for a Single Equation
- Statistical analysis of cointegration vectors
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Testing for a unit root in time series regression
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Understanding spurious regressions in econometrics
Cited in
(41)- Testing for cointegration in the presence of mis-specified structural change
- When bubbles burst: econometric tests based on structural breaks
- Durbin-Hausman tests for cointegration
- Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
- scientific article; zbMATH DE number 1475337 (Why is no real title available?)
- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- Tests for cointegration with structural breaks based on subsamples
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- A simple message for autocorrelation correctors: Don't
- New Improved Tests for Cointegration with Structural Breaks
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- LR cointegration tests when some cointegrating relations are known
- Dickey-Fuller cointegration tests in the presence of regime shifts at known time
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Oracle efficient estimation of structural breaks in cointegrating regressions
- The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- Separate cointegration in a VAR system subject to structural breaks
- Monte Carlo tests of cointegration with structural breaks
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
- Distributions of error correction tests for cointegration
- Efficient estimation and inference in cointegrating regressions with structural change
- Regime-sensitive cointegration: the relationship between gold and silver
- Low-frequency robust cointegration testing
- Johansen‐type cointegration tests with a Fourier function
- A simple method of testing for cointegration subject to multiple regime changes
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Cointegration tests in the presence of structural breaks
- Residual-based tests for cointegration in models with regime shifts
- Bartlett corrections in cointegration testing
- Testing for multiple structural changes in cointegrated regression models
- Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
- Co-integration testing using local-to-unity detrending: the impact of structural change under the null
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Testing the null of cointegration in the presence of a structural break
- Cointegration in fractional systems with deterministic trends
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
- Testing for cointegration with threshold adjustment in the presence of structural breaks
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