1. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)
2. H. Krolzig, . "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Sonderforschungsbereich 373 1996-25, Humboldt Universitaet Berlin.
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   • Hans-Martin Krolzig, 1999. "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Computing in Economics and Finance 1999 1113, Society for Computational Economics.
3. Allan W. Gregory & Bruce E. Hansen, 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
   Other versions:
   • Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
   • Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January. [Downloadable!] (restricted)
4. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
5. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423. [Downloadable!] (restricted)
6. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
7. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July. [Downloadable!] (restricted)
8. Peter Hansen, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series 2000-17, Department of Economics, UC San Diego. [Downloadable!]
9. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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   • Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation, Yale University. [Downloadable!]
10. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-92, May. [Downloadable!] (restricted)
11. Engsted, Tom & Tanggaard, Carsten, 1995. " The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure," Scandinavian Journal of Economics, Blackwell Publishing, vol. 97(1), pages 145-59, March.
12. Elliott, Graham, 2000. "Estimating Restricted Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 91-99, January.
    Other versions:
    • Graham Elliott, 1999. "Estimating Restricted Cointegrating Vectors," University of California at San Diego, Economics Working Paper Series 99-22, Department of Economics, UC San Diego. [Downloadable!]
    • Graham Elliott, 1999. "Estimating Restricted Cointegrating Vectors," University of California at San Diego, Economics Working Paper Series 1999-22, Department of Economics, UC San Diego. [Downloadable!]
13. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
14. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January. [Downloadable!] (restricted)
15. Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(02), pages 222-259, April. [Downloadable!]
16. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 909-940. [Downloadable!] (restricted)
17. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier. [Downloadable!] (restricted)
18. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
19. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
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    • John Y. Campbell & Robert J. Shiller, 1988. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation, Yale University. [Downloadable!]
20. Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, vol. 42(3), pages 579-90, May. [Downloadable!] (restricted)
21. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
22. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February. [Downloadable!] (restricted)
23. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June. [Downloadable!] (restricted)
24. Izenman, Alan Julian, 1975. "Reduced-rank regression for the multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 5(2), pages 248-264, June. [Downloadable!] (restricted)
25. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates," NBER Technical Working Papers 0191, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Geert Bekaert & Robert J. Hodrick & David Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
    • Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June. [Downloadable!] (restricted)
26. Markku Lanne, 1999. "Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 393-398, August. [Downloadable!] (restricted)
27. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    Other versions:
    • Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
28. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)
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    • Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
29. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
30. Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society. [Downloadable!]
   Other versions:
   • Peter Tillmann, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers bgse27_2003, University of Bonn, Germany. [Downloadable!]
2. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
3. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics. [Downloadable!]
4. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rat," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
5. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany. [Downloadable!]
6. Carter, Colin A. & Smith, Aaron, 2004. "The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," Working Papers 11997, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
7. Carlos José Fonseca Marinheiro, 2005. "Sustainability of Portuguese Fiscal Policy in Historical Perspective," Working Papers de Economia (Economics Working Papers) 32, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro. [Downloadable!]
   Other versions:
   • Carlos Marinheiro, 2005. "Sustainability of Portuguese Fiscal Policy in Historical Perspective," GEMF Working Papers 2005-01, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
   • Carlos Fonseca Marinheiro, 2005. "Sustainability of Portuguese Fiscal Policy in Historical Perspective," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
8. Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics. [Downloadable!]
   Other versions:
   • Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008. [Downloadable!]
   • Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics. [Downloadable!]
9. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
10. Byron Gangnes & Craig Parsons, 2004. "Have US-Japan Trade Agreements Made a Difference?," Working Papers 200403, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
    Other versions:
    • Byron Gangnes & Craig Parsons, 2004. "Have U.S.-Japan Trade Agreements Made a Difference?," Working Papers 08-2004, Singapore Management University, School of Economics. [Downloadable!]
11. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper 82, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
    • Candelon,Bertrand & Cubadda,Gianluca, 2005. "Testing for Parameter Stability in Dynamic Models across Frequencies," Research Memoranda 022, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    • Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December. [Downloadable!] (restricted)
12. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
    • Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    • Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
13. Marçal , Emerson F. & Valls Pereira , Pedro L. & Abbara, Omar, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper 15624, University Library of Munich, Germany. [Downloadable!]
    Other versions:
    • Pereira, Pedro L. Valls, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," Textos para discussão 175, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
14. Carter, Colin A. & Smith, Aaron, 2006. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25447, International Association of Agricultural Economists. [Downloadable!]
    Other versions:
    • Colin A Carter & Aaron Smith, 2007. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," The Review of Economics and Statistics, MIT Press, vol. 89(3), pages 522-533, 07. [Downloadable!] (restricted)
15. Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, School of Economics and Management, University of Aarhus. [Downloadable!]