Some tests for parameter constancy in cointegrated VAR‐models
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Publication:4488945
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(42)- scientific article; zbMATH DE number 1396191 (Why is no real title available?)
- Reduced rank regression in cointegrated models.
- 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
- Structural breaks with deterministic and stochastic trends
- A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
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- International mobility of capital in the United States: robust evidence from time-series tests
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- Efficient estimation and inference in cointegrating regressions with structural change
- Structural changes in the cointegrated vector autoregressive model
- Coefficient constancy test in generalized random coefficient autoregressive model
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
- Coefficient constancy test in AR-ARCH models
- Natural rate doubts
- Haavelmo's probability approach and the cointegrated VAR
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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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- Modelling structural breaks, long memory and stock market volatility: an overview
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- 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
- `Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets
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