Testing of partially variable structure cointegration

zbMATH Open1083.62099MaRDI QIDQ3375166FDOQ3375166

Authors Baochen Yang, Shi-ying Zhang 

Publication date 1 March 2006

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

• Testing for cointegration using partially linear models
• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• New Improved Tests for Cointegration with Structural Breaks
• A note on tests of partial parameter stability in the cointegrated system
• Test for partial parameter instability in regressions with \(I(1)\) processes

Cited In (4)

• Testing for cointegration using partially linear models
• A note on tests of partial parameter stability in the cointegrated system
• A two-step procedure for testing partial parameter stability in cointegrated regression models
• Some tests for parameter constancy in cointegrated VAR‐models

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