Some tests for parameter constancy in cointegrated VAR‐models
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Publication:4488945
DOI10.1111/1368-423X.00035zbMATH Open0982.62072OpenAlexW2106972544MaRDI QIDQ4488945FDOQ4488945
Authors: Henrik Hansen, Søren Johansen 
Publication date: 7 April 2002
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00035
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)
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- Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
- Testing for the cointegration rank when some cointegrating directions are changing
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- Influential observations in cointegrated VAR models: Danish money demand 1973–2003
- International mobility of capital in the United States: robust evidence from time-series tests
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- Cointegration rank switching model: an application to forecasting interest rates
- Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
- The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models
- Detecting equilibrium correction with smoothly time-varying strength
- Efficient estimation and inference in cointegrating regressions with structural change
- Structural changes in the cointegrated vector autoregressive model
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- Coefficient constancy test in generalized random coefficient autoregressive model
- Coefficient constancy test in AR-ARCH models
- Natural rate doubts
- Haavelmo's probability approach and the cointegrated VAR
- Causal structure among US corn futures and regional cash prices in the time and frequency domain
- Monitoring procedures to detect unit roots and stationarity
- The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation
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- The transmission of shocks between Europe, Japan and the United States
- Time-varying cointegration and the Kalman filter
- Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data
- Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
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- Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
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- Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
- Interest rate pass-through: a nonlinear vector error-correction approach
- Purchasing power parity between the UK and Germany: the euro era
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- Modelling structural breaks, long memory and stock market volatility: an overview
- `Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets
- A comparison between tests for changes in the adjustment coefficients in cointegrated systems
- The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach
- NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- Title not available (Why is that?)
- Reduced rank regression in cointegrated models.
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