Testing for multiple structural changes in cointegrated regression models
DOI10.1198/JBES.2009.07220zbMATH Open1202.62119OpenAlexW3123967823MaRDI QIDQ3063002FDOQ3063002
Authors: Mohitosh Kejriwal, Pierre Perron 
Publication date: 30 December 2010
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.07220
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Sequential estimation (62L12) Statistical tables (62Q05)
Cited In (32)
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Johansen‐type cointegration tests with a Fourier function
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- A simple method of testing for cointegration subject to multiple regime changes
- International mobility of capital in the United States: robust evidence from time-series tests
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- Markov regime switching in mean and in fractional integration parameter
- Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
- 50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- New Improved Tests for Cointegration with Structural Breaks
- Efficient estimation and inference in cointegrating regressions with structural change
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Structural changes in the cointegrated vector autoregressive model
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- Testing for parameter constancy in the time series direction in panel data models
- Testing for parameter instability and structural change in persistent predictive regressions
- Simulation experiments on the performance of structural change tests in cointegration
- Inference on locally ordered breaks in multiple regressions
- Wald tests for detecting multiple structural changes in persistence
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- A two-step procedure for testing partial parameter stability in cointegrated regression models
- A mixture‐distribution factor model for multivariate outliers
- Testing for multiple structural changes with non-homogeneous regressors
- On the performance of the variance ratio unit root tests with flexible Fourier form
- Has trade become more responsive to income? Assessing the evidence for US imports
- Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis
- A comparison between tests for changes in the adjustment coefficients in cointegrated systems
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
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