A comparison between tests for changes in the adjustment coefficients in cointegrated systems

DOI10.1080/10629360600926958zbMATH Open1367.62333OpenAlexW2076719339MaRDI QIDQ5457920FDOQ5457920

Authors: Marco R. Barassi, Guglielmo Maria Caporale, Stephen G. Hall 

Publication date: 10 April 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://fordham.bepress.com/crif_seminar_series/4

Recommendations

• Testing for multiple structural changes in cointegrated regression models
• Some tests for parameter constancy in cointegrated VAR‐models
• Residual-based tests for cointegration in models with regime shifts
• New Improved Tests for Cointegration with Structural Breaks
• Testing for structural change in cointegrated regression models: some comparisons and generalizations

zbMATH Keywords

sequential testMonte Carlo methodsstructural breakadjustment coefficients

Mathematics Subject Classification ID

Point estimation (62F10) Reliability and life testing (62N05) Applications of statistics in engineering and industry; control charts (62P30)

Cites Work

• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Statistical analysis of cointegration vectors
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Testing for the Constancy of Parameters Over Time
• A new test for structural stability in the linear regression model
• Residual-based tests for cointegration in models with regime shifts
• Testing for structural breaks in cointegrated relationships
• Vector Autoregressions and Causality
• Some tests for parameter constancy in cointegrated VAR‐models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Diagnostic test for structural change in cointegrated regression models
• The spurious effect of unit roots on vector autoregressions. An analytical study

Cited In (1)

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

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