Combining p-values to test for multiple structural breaks in cointegrated regressions
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Publication:2000873
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Cites work
- scientific article; zbMATH DE number 3013180 (Why is no real title available?)
- A nonparametric approach for multiple change point analysis of multivariate data
- Automated estimation of vector error correction models
- Changepoint estimation: another look at multiple testing problems
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
- Foundations of Modern Probability
- Group Lasso for structural break time series
- Identification-robust estimation and testing of the zero-beta CAPM
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
- Resampling-based multiple testing for microarray data analysis (With comments)
- Simulation based finite and large sample tests in multivariate regressions
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- Some tests for parameter constancy in cointegrated VAR‐models
- Stability tests in error correction models
- Structural changes in the cointegrated vector autoregressive model
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing for common breaks in a multiple equations system
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Testing for multiple bubbles: limit theory of real-time detectors
- Testing for multiple structural changes in cointegrated regression models
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Time-varying cointegration
Cited in
(6)- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- Testing independence between exogenous variables and unobserved errors
- The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
- Reprint of: The likelihood ratio test for structural changes in factor models
- Identification-Robust Inference With Simulation-Based Pseudo-Matching
- The likelihood ratio test for structural changes in factor models
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