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.:
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
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"Multiple Time Series Regression with Integrated Processes,"
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- Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
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American Statistical Association, vol. 20(1), pages 45-59, January.
- 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.
- Peter C.B. Phillips & Joon Y. Park, 1986.
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811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
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1329, Cowles Foundation for Research in Economics, Yale University.
- Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
- Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
- Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
- Fabien Rondeau & Sébastien Pommier, 2012. "Factors of R&D spillovers and European integration," Economics Bulletin, AccessEcon, vol. 32(3), pages 1970-1977.
- Wankeun Oh, 2002. "Cointegration and Structural Change: An Application to the U.S. Demand for Money," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 91-101, January.
- Manuel Ramos Francia & Daniel Chiquiar, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
- Westerlund, Joakim, 2005.
"Testing for Panel Cointegration with Multiple Structural Breaks,"
2005:12, Lund University, Department of Economics.
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- Kurozumi, Eiji & Arai, Yoichi, 2005.
"Efficient Estimation and Inference in Cointegrating Regressions with Structural Change,"
2004-09, Graduate School of Economics, Hitotsubashi University.
- Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, 07.
- Fabien Rondeau, 2006. "Pattern of trade and European economic integration : an unexpected relation," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 200614, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
- Marco Barassi & Guglielmo Caporale & Stephen Hall, 2005. "A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates," Open Economies Review, Springer, vol. 16(2), pages 107-133, April.
- Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
- Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
- Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
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