Testing of partially variable structure cointegration

zbMATH Open1083.62099MaRDI QIDQ3375166FDOQ3375166

Shi-ying Zhang, Baochen Yang

Publication date: 1 March 2006

Recommendations

• Testing for cointegration using partially linear models
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• A note on tests of partial parameter stability in the cointegrated system
• Test for partial parameter instability in regressions with \(I(1)\) processes

Mathematics Subject Classification ID

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

Cited In (1)

• Some tests for parameter constancy in cointegrated VAR‐models

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