A Diagnostic Test for Structural Change in Cointegrated Regression Models
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 19/94.
Length: 10 pages
Date of creation: 1994
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Kang Hao & Inder, Brett, 1996. "Diagnostic test for structural change in cointegrated regression models," Economics Letters, Elsevier, vol. 50(2), pages 179-187, February.
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.:
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
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- Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
- Hansen, Bruce E, 1992.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
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"Statistical Inference in Instrumental Variables Regression with I(1) Processes,"
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811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
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