Tests for cointegration with structural breaks based on subsamples
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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
Cites work
- A Fractional Dickey-Fuller Test for Unit Roots
- A mixture‐distribution factor model for multivariate outliers
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Small Sample Correction of the Dickey–Fuller Test
- 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
- 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?)
- 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
(13)- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- The Fisher effect in the presence of time-varying coefficients
- Cointegration tests in the presence of structural breaks
- Detection of structural breaks in linear dynamic panel data models
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Monte Carlo tests of cointegration with structural breaks
- Subsampling the Johansen test with stable innovations
- Subsampling cointegration tests in heavy-tailed observation
- Oracle efficient estimation of structural breaks in cointegrating regressions
- A mixture‐distribution factor model for multivariate outliers
- Testing for fractional cointegration in subsamples by allowing for structural breaks
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