Stability tests in error correction models
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Recommendations
- Testing for an unstable root in conditional and structural error correction models
- Testing for structural stability in the whole sample
- Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
- A note on tests of partial parameter stability in the cointegrated system
Cites work
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 472927 (Why is no real title available?)
- scientific article; zbMATH DE number 762936 (Why is no real title available?)
- A new test for structural stability in the linear regression model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Fully Modified Least Squares and Vector Autoregression
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Multiple Time Series Regression with Integrated Processes
- Regression Theory for Near-Integrated Time Series
- Residual-based tests for cointegration in models with regime shifts
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- Testing for Common Trends
- Testing for structural breaks in cointegrated relationships
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
Cited in
(10)- Testing for the cointegration rank when some cointegrating directions are changing
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Regime-switching cointegration
- Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
- Cointegration rank switching model: an application to forecasting interest rates
- Efficient estimation and inference in cointegrating regressions with structural change
- Bayesian inference in a time varying cointegration model
- A note on tests of partial parameter stability in the cointegrated system
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- Time-varying cointegration
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