Combining p-values to test for multiple structural breaks in cointegrated regressions
DOI10.1016/J.JECONOM.2019.01.013zbMATH Open1452.62619OpenAlexW2939339450WikidataQ128166985 ScholiaQ128166985MaRDI QIDQ2000873FDOQ2000873
Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf, Giovanni Urga
Publication date: 1 July 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.01.013
Recommendations
- Cointegration tests in the presence of structural breaks
- Testing the null of cointegration in the presence of a structural break
- Multiple structural breaks in cointegrating regressions: a model selection approach
- 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
- A simple method of testing for cointegration subject to multiple regime changes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Title not available (Why is that?)
- TIME-VARYING COINTEGRATION
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Cited In (5)
- The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
- Testing independence between exogenous variables and unobserved errors
- Identification-Robust Inference With Simulation-Based Pseudo-Matching
- The likelihood ratio test for structural changes in factor models
- Reprint of: The likelihood ratio test for structural changes in factor models
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