Testing for structural breaks in cointegrated relationships

DOI10.1016/0304-4076(96)84508-8zbMath0850.62900OpenAlexW2045499120MaRDI QIDQ1915456

David G. Watt, Allan W. Gregory, James M. Nason

Publication date: 17 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(96)84508-8

Mathematics Subject Classification ID

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

Related Items (20)

The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ Residual-based tests for cointegration in models with regime shifts ⋮ The Fisher effect in the presence of time-varying coefficients ⋮ Stability tests in error correction models ⋮ A note on tests of partial parameter stability in the cointegrated system ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Simulation experiments on the performance of structural change tests in cointegration ⋮ Testing for structural change in cointegrated regression models: some comparisons and generalizations ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ Testing for cointegration in the presence of mis-specified structural change ⋮ A comparison between tests for changes in the adjustment coefficients in cointegrated systems ⋮ Test for partial parameter instability in regressions with \(I(1)\) processes ⋮ The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break ⋮ A simple method of testing for cointegration subject to multiple regime changes ⋮ Testing for the cointegration rank when some cointegrating directions are changing ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

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