Cointegration tests in the presence of structural breaks

DOI10.1016/0304-4076(94)01689-5zbMATH Open0834.62083OpenAlexW2034287017MaRDI QIDQ1906293FDOQ1906293

Neil R. Ericsson, David F. Hendry, Julia Campos

Publication date: 8 April 1996

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

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1993/440/ifdp440.pdf

Recommendations

• Testing the null of cointegration in the presence of a structural break
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• 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

zbMATH Keywords

stationary time seriesstructural breakcointegration testsmarginal processestimated error correction modelsrecursive Monte Carlo

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cited In (36)

• Title not available (Why is that?)
• Dickey-Fuller cointegration tests in the presence of regime shifts at known time
• Co-integration testing using local-to-unity detrending: the impact of structural change under the null
• Johansen‐type cointegration tests with a Fourier function
• Cointegration in fractional systems with deterministic trends
• A simple method of testing for cointegration subject to multiple regime changes
• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
• Testing the null of cointegration in the presence of a structural break
• Distributions of error correction tests for cointegration
• Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
• When bubbles burst: econometric tests based on structural breaks
• The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
• New Improved Tests for Cointegration with Structural Breaks
• Efficient estimation and inference in cointegrating regressions with structural change
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Low-frequency robust cointegration testing
• Cointegration tests in the presence of structural breaks
• Residual-based tests for cointegration in models with regime shifts
• LR cointegration tests when some cointegrating relations are known
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• Testing for cointegration in the presence of mis-specified structural change
• Durbin-Hausman tests for cointegration
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• Monte Carlo tests of cointegration with structural breaks
• Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• A simple message for autocorrelation correctors: Don't
• Bartlett corrections in cointegration testing
• Title not available (Why is that?)
• Separate cointegration in a VAR system subject to structural breaks
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination

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