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Testing for Structural Breaks in Cointegrated Relationaships

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Author Info
Gregory, A.W.
Nason, J.M.

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Abstract

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Publisher Info
Paper provided by UBC Department of Economics in its series UBC Departmental Archives with number 91-31.

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Length: 33 pages
Date of creation: 1991
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Handle: RePEc:ubc:bricol:91-31

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Related research
Keywords: linear models costs money demand

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  1. Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memoranda 060, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  2. Gordon de Brouwer & Irene Ng & Robert Subbaraman, 1993. "The Demand for Money in Australia: New Tests on an Old Topic," RBA Research Discussion Papers rdp9314, Reserve Bank of Australia. [Downloadable!]
  3. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  4. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho. [Downloadable!]
  5. Catherine Bruneau, Ch. Duval-Kieffer, J.P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 146-162, June. [Downloadable!] (restricted)
  6. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho. [Downloadable!]
  7. Michael D. Bordo & Lars Jonung & Pierre Siklos, 1993. "The Common Development of Institutional Change as Measured by Income Velocity: A Century of Evidence from Industrialized Countries," NBER Working Papers 4379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Takatoshi Ito & Kimie Harada, 2005. "Japan premium and stock prices: two mirrors of Japanese banking crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 195-211. [Downloadable!]
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  9. Francisco de Castro & José M. González-Páramo & Pablo Hernández de Cos, 2001. "Evaluating the dynamics of fiscal policy in Spain: patterns of interdependence and consistency of public expenditure and revenues," Banco de España Working Papers 0103, Banco de España. [Downloadable!]
  10. Paul Cashin & Catherine Pattillo, 2006. "African terms of trade and the commodity terms of trade: close cousins or distant relatives?," Applied Economics, Taylor and Francis Journals, vol. 38(8), pages 845-859, May. [Downloadable!] (restricted)
  11. Francisco De Castro & Pablo Hernández De Cos, 2002. "On the sustainability of the Spanish public budget performance," Hacienda Pública Española, IEF, vol. 127(1), pages 9-28, march. [Downloadable!]
  12. Rasmus Pilegaard & Alain Durre & Snorre Evjen, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank. [Downloadable!]
  13. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  14. Alfredo M. Pereira & Maria de Fátima Pinho, 2006. "Public Investment, Economic Performance and Budgetary Consolidation: VAR Evidence for the 12 Euro Countries," Working Papers 40, Department of Economics, College of William and Mary. [Downloadable!]
  15. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001. "A simple method for testing cointegration subject to regime changes," NIPE Working Papers 15/2001, NIPE - Universidade do Minho. [Downloadable!]
  16. Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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  17. Steven Cook, 2004. "Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 879-884, November. [Downloadable!] (restricted)
  18. Christian Dreger & Christian Schumacher, 2000. "Zur empirischen Evidenz der Cobb-Douglas-Technologie in gesamtdeutschen Zeitreihen," IWH Discussion Papers 113, Halle Institute for Economic Research. [Downloadable!]
  19. Amir Kia, 1996. "Overnight Covered Interest Parity: Theory And Practice," International Economic Journal, Korean International Economic Association, vol. 10(1), pages 59-82, April. [Downloadable!] (restricted)
  20. Luciano Gutierrez, 2005. "Tests for cointegration in panels with regime shifts," Econometrics 0505007, EconWPA. [Downloadable!]
  21. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany. [Downloadable!]
  22. Steven Cook, 2005. "Threshold autoregressive testing procedures and structural change in cointegrating relationships," Economics Bulletin, Economics Bulletin, vol. 3(53), pages 1-11. [Downloadable!]
  23. Michael Funke, 2001. "Money Demand in Euroland," Quantitative Macroeconomics Working Papers 20112, Hamburg University, Department of Economics. [Downloadable!]
    Other versions:
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