Testing for structural breaks in cointegrated relationships

DOI10.1016/0304-4076(96)84508-8zbMath0850.62900MaRDI QIDQ1915456

James M. Nason, Allan W. Gregory, David G. Watt

Publication date: 17 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(96)84508-8

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Testing for structural change in cointegrated regression models: some comparisons and generalizations, The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors, Efficient estimation and inference in cointegrating regressions with structural change, A comparison between tests for changes in the adjustment coefficients in cointegrated systems, Test for partial parameter instability in regressions with \(I(1)\) processes, Stability tests in error correction models, A simple method of testing for cointegration subject to multiple regime changes, Residual-based tests for cointegration in models with regime shifts, Testing for cointegration in the presence of mis-specified structural change, Simulation experiments on the performance of structural change tests in cointegration

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