Efficient estimation and inference in cointegrating regressions with structural change

DOI10.1111/j.1467-9892.2006.00524.xzbMath1164.62047MaRDI QIDQ5430499

Eiji Kurozumi, Yoichi Arai

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16920/070econDP04-09.pdf

zbMATH Keywords

asymptotic distribution; consistency; canonical cointegrating regression; change-point detection

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Testing for the Null Hypothesis of Cointegration with a Structural Break

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Tests of cointegrating rank with trend-break
• Diagnostic test for structural change in cointegrated regression models
• Stability tests in error correction models
• Structural changes in the cointegrated vector autoregressive model
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Optimal changepoint tests for normal linear regression
• Residual-based tests for cointegration in models with regime shifts
• Cointegration tests in the presence of structural breaks
• Testing for structural breaks in cointegrated relationships
• Testing for the cointegrating rank of a VAR process with a time trend
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• Asymptotic Properties of Residual Based Tests for Cointegration
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Canonical Cointegrating Regressions
• Testing For and Dating Common Breaks in Multivariate Time Series
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Some tests for parameter constancy in cointegrated VAR‐models
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fully Modified Least Squares and Vector Autoregression
• Efficient Tests for an Autoregressive Unit Root
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models