Testing for structural change in cointegrated regression models: some comparisons and generalizations

DOI10.1080/07474939608800364MaRDI QIDQ4355154zbMATHOpenAlexFDO

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

zbMATH Keywords

asymptotic distributioncointegrationpartial structural changerobust cointegration test

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Multiple Time Series Regression with Integrated Processes
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Optimal changepoint tests for normal linear regression
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for structural breaks in cointegrated relationships
• 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?
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(15)

• Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Structural changes in the cointegrated vector autoregressive model
• Time-varying cointegration
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• A comparison between tests for changes in the adjustment coefficients in cointegrated systems
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Testing of partially variable structure cointegration
• Simulation experiments on the performance of structural change tests in cointegration
• Efficient estimation and inference in cointegrating regressions with structural change
• Testing for multiple structural changes in cointegrated regression models
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes
• PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
• Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods

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