Tests for cointegration with structural breaks based on subsamples
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Publication:2445705
DOI10.1016/J.CSDA.2010.01.028zbMATH Open1284.91583OpenAlexW1983244087MaRDI QIDQ2445705FDOQ2445705
Authors: James Davidson, Andrea Monticini 
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://people.exeter.ac.uk/RePEc/dpapers/DP0704.pdf
Recommendations
- Cointegration tests in the presence of structural breaks
- A simple method of testing for cointegration subject to multiple regime changes
- New Improved Tests for Cointegration with Structural Breaks
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Residual-based tests for cointegration in models with regime shifts
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (12)
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Detection of structural breaks in linear dynamic panel data models
- Cointegration tests in the presence of structural breaks
- Subsampling cointegration tests in heavy-tailed observation
- Subsampling the Johansen test with stable innovations
- The Fisher effect in the presence of time-varying coefficients
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Monte Carlo tests of cointegration with structural breaks
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- A mixture‐distribution factor model for multivariate outliers
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