Simulation experiments on the performance of structural change tests in cointegration

DOI10.1080/00949650601128198MaRDI QIDQ3527722zbMATH OpenOpenAlexFDO

Authors Sami Khedhiri

Publication date 30 September 2008

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

Full work available at URL https://doi.org/10.1080/00949650601128198

zbMATH Keywords

cointegrationMonte Carlo simulationstructural change

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• Monte Carlo tests of cointegration with structural breaks
• Testing for multiple structural changes in cointegrated regression models
• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• Structural change tests for simulated method of moments.

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A two-stage plug-in bandwidth selection and its implementation for covariance estimation
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Canonical Cointegrating Regressions
• Estimating Long-Run Economic Equilibria
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Multiple Time Series Regression with Integrated Processes
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for structural breaks in cointegrated relationships
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The generalized fluctuation test: A unifying view

Cited in

(3)

• Structural change tests for simulated method of moments.
• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• Testing for structural change in cointegrated regression models: some comparisons and generalizations

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