Testing for cointegration with threshold adjustment in the presence of structural breaks
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Recommendations
- Cointegration tests in the presence of structural breaks
- Testing the null of cointegration in the presence of a structural break
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Performance of threshold cointegration tests
- New Improved Tests for Cointegration with Structural Breaks
- Tests for cointegration with structural breaks based on subsamples
- A threshold cointegration test with increased power
Cites work
- A threshold AR(1) model
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotics for linear processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Fully Modified Least Squares and Vector Autoregression
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- Multiple Time Series Regression with Integrated Processes
- New Improved Tests for Cointegration with Structural Breaks
- Nonlinear Regressions with Integrated Time Series
- On geometric ergodicity of the MTAR process
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Residual-based tests for cointegration in models with regime shifts
- Structural breaks in time series
- Testing for multiple structural changes in cointegrated regression models
- Testing for structural breaks in cointegrated relationships
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Testing for unit roots in autoregressive-moving average models of unknown order
- Tests for cointegration with structural breaks based on subsamples
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Threshold Autoregression with a Unit Root
- Threshold models in non-linear time series analysis
- UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(6)- Cointegration tests in the presence of structural breaks
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
- Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Threshold Cointegration and the PPP Hypothesis
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