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

DOI10.1080/10629360600926958MaRDI QIDQ5457920zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

adjustment coefficientsMonte Carlo methodssequential teststructural break

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(2)

• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• On the usability of the fluctuation test statistic to identify multiple cointegration break points

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