Diagnostic test for structural change in cointegrated regression models

DOI10.1016/0165-1765(95)00750-4zbMath0875.90072OpenAlexW2129295351MaRDI QIDQ1351725

Kang Hao, Brett A. Inder

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/267752/files/monash-188.pdf

zbMATH Keywords

CointegrationCUSUM testStructural changeFully modified ordinary least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach ⋮ Testing cointegration in quantile regressions with an application to the term structure of interest rates ⋮ Robust inference in nonstationary time series models ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ A comparison between tests for changes in the adjustment coefficients in cointegrated systems ⋮ A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates ⋮ A CUSUM test for cointegration using regression residuals

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Optimal Inference in Cointegrated Systems
• Multiple Time Series Regression with Integrated Processes
• The Cusum Test with Ols Residuals

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