A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
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Publication:2574863
DOI10.1007/s11079-005-5871-5zbMath1121.91401MaRDI QIDQ2574863
Guglielmo Maria Caporale, Marco R. Barassi, Stephen G. Hall
Publication date: 2 December 2005
Published in: Open Economies Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11079-005-5871-5
91B82: Statistical methods; economic indices and measures
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Cites Work
- Statistical analysis of cointegration vectors
- Structural relations, cointegration and identification: Some simple results and their application
- Diagnostic test for structural change in cointegrated regression models
- On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
- A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
- Some tests for parameter constancy in cointegrated VAR‐models