Cointegration tests in the presence of structural breaks

DOI10.1016/0304-4076(94)01689-5zbMath0834.62083OpenAlexW2034287017MaRDI QIDQ1906293

Neil R. Ericsson, David F. Hendry, Julia Campos

Publication date: 8 April 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1993/440/ifdp440.pdf

zbMATH Keywords

stationary time seriesstructural breakcointegration testsmarginal processestimated error correction modelsrecursive Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items

Cointegration in fractional systems with deterministic trends, Unnamed Item, A simple message for autocorrelation correctors: Don't, Cointegration tests in the presence of structural breaks, Cointegration Rank Estimation for High-Dimensional Time Series With Breaks, Johansen‐type cointegration tests with a Fourier function, Bartlett corrections in cointegration testing, Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination, Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test, Efficient estimation and inference in cointegrating regressions with structural change, Distributions of error correction tests for cointegration, Testing the null of cointegration in the presence of a structural break, NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000), Spurious rejections by Dickey-Fuller tests in the presence of a break under the null, 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, Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

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