Tests for cointegration with structural breaks based on subsamples

DOI10.1016/J.CSDA.2010.01.028MaRDI QIDQ2445705zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cointegrationBrownian motionlevel shiftregime shift

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 933352 (Why is no real title available?)
• scientific article; zbMATH DE number 7096038 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Asymptotic Properties of Residual Based Tests for Cointegration
• Automatic Lag Selection in Covariance Matrix Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root
• Efficient Wald Tests for Fractional Unit Roots
• Forecasting and testing in co-integrated systems
• Inference on segmented cointegration
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Nonparametric tests for unit roots and cointegration.
• Optimal Fractional Dickey–Fuller tests
• Residual-based tests for cointegration in models with regime shifts
• Structural relations, cointegration and identification: Some simple results and their application
• Testing for a unit root in time series regression
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(12)

• The Fisher effect in the presence of time-varying coefficients
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• A mixture‐distribution factor model for multivariate outliers
• Oracle efficient estimation of structural breaks in cointegrating regressions
• Monte Carlo tests of cointegration with structural breaks
• Subsampling the Johansen test with stable innovations
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Cointegration tests in the presence of structural breaks
• Subsampling cointegration tests in heavy-tailed observation
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• Detection of structural breaks in linear dynamic panel data models
• Testing for cointegration with threshold adjustment in the presence of structural breaks

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