ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN

DOI10.1081/ETC-120015788zbMath1033.62084OpenAlexW1967839249MaRDI QIDQ4443967

Serena Ng, Timothy J. Vogelsang

Publication date: 2002

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

Full work available at URL: https://doi.org/10.1081/etc-120015788

zbMATH Keywords

tablescausality testsforecastingstructural changetrend break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Grain prices, oil prices, and multiple smooth breaks in a VAR, Change Point Detection with Multivariate Observations Based on Characteristic Functions, Level changes in volatility models, On Testing Changes in Autoregressive Parameters of a VAR Model, Testing for ARCH in the presence of a possibly misspecified conditional mean

Cites Work

• Intervention Analysis with Applications to Economic and Environmental Problems
• Testing For and Dating Common Breaks in Multivariate Time Series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis