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

DOI10.1080/07474939608800364zbMath0885.62129OpenAlexW2092658090MaRDI QIDQ4355154

Kang Hao

Publication date: 3 May 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/267905/files/monash-212.pdf?subformat=pdfa

zbMATH Keywords

asymptotic distributioncointegrationpartial structural changerobust cointegration test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items

The limit distribution of the estimates in cointegrated regression models with multiple structural changes, ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES, TIME-VARYING COINTEGRATION, Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison, Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

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