INFERENCE ON SEGMENTED COINTEGRATION

DOI10.1017/S0266466603194078zbMath1441.62773OpenAlexW2012215390MaRDI QIDQ4561973

Jae-Young Kim

Publication date: 14 December 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466603194078

Mathematics Subject Classification ID

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

Related Items (1)

Tests for cointegration with structural breaks based on subsamples

Cites Work

• Understanding spurious regressions in econometrics
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Testing a time series for difference stationarity
• Residual-based tests for cointegration in models with regime shifts
• Detection of change in persistence of a linear time series
• STRUCTURAL CHANGE IN AR(1) MODELS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Testing For and Dating Common Breaks in Multivariate Time Series
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• Threshold Cointegration
• Dynamic Econometrics
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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