A note on tests of partial parameter stability in the cointegrated system
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Publication:1934806
DOI10.1016/j.econlet.2007.09.043zbMath1255.91334MaRDI QIDQ1934806
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.043
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
91B82: Statistical methods; economic indices and measures
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Cites Work
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Stability tests in error correction models
- Structural changes in the cointegrated vector autoregressive model
- Testing for structural breaks in cointegrated relationships
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Distinguishing between trend-break models: method and empirical evidence