TIME-VARYING COINTEGRATION (Q4933586)

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scientific article; zbMATH DE number 5799560

Language	Label	Description	Also known as
English	TIME-VARYING COINTEGRATION	scientific article; zbMATH DE number 5799560

Statements

scholarly article

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TIME-VARYING COINTEGRATION (English)

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Herman J. Bierens

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Luis F. Martins

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Econometric Theory

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publication date

14 October 2010

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MaRDI profile type

MaRDI publication profile

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Stability tests in error correction models

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COINTEGRATING SMOOTH TRANSITION REGRESSIONS

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Multiple Time Series Regression with Integrated Processes

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Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate

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Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)

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Topics in Advanced Econometrics

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Testing For and Dating Common Breaks in Multivariate Time Series

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Optimal changepoint tests for normal linear regression

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Testing for the cointegration rank when some cointegrating directions are changing

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Comparison of tests for the cointegrating rank of a VAR process with a structural shift

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Distribution of eigenvalues in multivariate statistical analysis

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Test for partial parameter instability in regressions with \(I(1)\) processes

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Testing for cointegration using partially linear models

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Cointegration analysis in the presence of structural breaks in the deterministic trend

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Statistical analysis of cointegration vectors

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Tests of cointegrating rank with trend-break

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Stochastic cointegration: estimation and inference.

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

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Structural changes in the cointegrated vector autoregressive model

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Some tests for parameter constancy in cointegrated VAR‐models

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Nonlinear estimation using estimated cointegrating relations

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Tests for cointegration with infinite variance errors

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Estimating the dimension of a model

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Threshold Cointegration

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full work available at URL

https://doi.org/10.1017/s0266466609990648

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Identifiers

zbMATH Open document ID

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10.1017/S0266466609990648

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4933586

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