Tests of cointegrating rank with trend-break
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Publication:1298467
DOI10.1016/S0304-4076(98)00042-6zbMath1041.62527OpenAlexW2056193259MaRDI QIDQ1298467
Publication date: 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00042-6
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (15)
Structural breaks with deterministic and stochastic trends ⋮ Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ TIME-VARYING COINTEGRATION ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ Structural changes in the cointegrated vector autoregressive model ⋮ ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ The impact of structural breaks on the integration of the ASEAN-5 stock markets ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ A simple method of testing for cointegration subject to multiple regime changes ⋮ Comparison of tests for the cointegrating rank of a VAR process with a structural shift ⋮ Testing for the cointegration rank when some cointegrating directions are changing
Cites Work
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- Statistical analysis of cointegration vectors
- A cointegration approach to estimating preference parameters
- Residual-based tests for cointegration in models with regime shifts
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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