Testing for structural change in cointegrated regression models: some comparisons and generalizations
DOI10.1080/07474939608800364zbMATH Open0885.62129OpenAlexW2092658090MaRDI QIDQ4355154FDOQ4355154
Authors: Kang Hao 
Publication date: 3 May 1998
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/267905/files/monash-212.pdf?subformat=pdfa
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Title not available (Why is that?)
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Multiple Time Series Regression with Integrated Processes
- Testing for the Constancy of Parameters Over Time
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Optimal changepoint tests for normal linear regression
- Testing for structural breaks in cointegrated relationships
Cited In (15)
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Testing of partially variable structure cointegration
- Efficient estimation and inference in cointegrating regressions with structural change
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Structural changes in the cointegrated vector autoregressive model
- Simulation experiments on the performance of structural change tests in cointegration
- Time-varying cointegration
- PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
- Testing for multiple structural changes in cointegrated regression models
- A comparison between tests for changes in the adjustment coefficients in cointegrated systems
- Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
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