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Structural stability tests in the linear regression model when the regressors have roots local to unity

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  • Wright, Jonathan H.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VWC6WT-V/2/2560e9af2d14ff2ae77a15d7c329bd59
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 52 (1996)
Issue (Month): 3 (September)
Pages: 257-262

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Handle: RePEc:eee:ecolet:v:52:y:1996:i:3:p:257-262

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
  2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  3. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
  4. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
  5. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
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