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Citations for "Testing for and Dating Common Breaks in Multivariate Time Series"

by Bai, Jushan & Lumsdaine, Robin L & Stock, James H

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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. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  2. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester. [Downloadable!]
  3. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]
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  4. James B. Bullard & Stefano Eusepi, 2004. "Did the Great Inflation occur despite policymaker commitment to a Taylor rule?," Working Papers 2003-013, Federal Reserve Bank of St. Louis. [Downloadable!]
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  5. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics. [Downloadable!]
  6. Karen Watkins & Dick van Dijk & Jaap Spronk, 2004. "Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience," Tinbergen Institute Discussion Papers 04-057/2, Tinbergen Institute. [Downloadable!]
  7. Steven Cook, 2001. "Asymmetric unit root tests in the presence of structural breaks under the null," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-10. [Downloadable!]
  8. Gianluca Cubadda, 2007. "A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series," CEIS Research Paper 102, Tor Vergata University, CEIS. [Downloadable!]
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  9. Jamie Emerson & Chihwa Kao, 2000. "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers 15, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
  10. António Afonso & Peter Claeys, 2006. "The dynamic behaviour of budget components and output – the cases of France, Germany, Portugal, and Spain," Working Papers 2006/26, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  11. Peter Claeys, 2007. "Estimating the effects of fiscal policy under the budget constraint," IREA Working Papers 200715, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007. [Downloadable!]
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  12. 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!]
  13. repec:isu:genres:11251 is not listed on IDEAS
  14. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington. [Downloadable!]
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  15. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper 82, Tor Vergata University, CEIS. [Downloadable!]
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  16. Kirdan Lees & Troy Matheson, 2005. "Mind your Ps and Qs! Improving ARMA forecasts with RBC priors," Reserve Bank of New Zealand Discussion Paper Series DP2005/02, Reserve Bank of New Zealand. [Downloadable!]
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  17. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
  18. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall. [Downloadable!] (restricted)
  19. D.J. van Dijk & D.R. Osborn & M. Sensier, 2002. "Changes in variability of the business cycle in the G7 countries," Econometric Institute Report 282, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  20. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
  21. B. Siliverstovs & D.J. Van Dijk, 2003. "Forecasting industrial production with linear, nonlinear and structural change models," Econometric Institute Report 321, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  22. James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  23. Cliff L.F. Attfield & Jonathan R.W. Temple, 2003. "Measuring trend output: how useful are the Great Ratios?," Bristol Economics Discussion Papers 03/555, Department of Economics, University of Bristol, UK. [Downloadable!]
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  24. Chang-Jin Kim & Charles Nelson & Jeremy Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  25. Roosen, Jutta & Hennessy, David A. & Hennessy, Thia C., 2004. "Seasonality, Capital Inflexibility, and the Industrialization of Animal Production," Staff General Research Papers 12222, Iowa State University, Department of Economics. [Downloadable!]
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  26. Laura Berger-Thomson & Luci Ellis, 2004. "Housing Construction Cycles and Interest Rates," RBA Research Discussion Papers rdp2004-08, Reserve Bank of Australia. [Downloadable!]
  27. Martin B. Schmidt, 2006. "Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle," Working Papers 47, Department of Economics, College of William and Mary. [Downloadable!]
  28. Alfredo M. Pereira & Martin B. Schmidt, 2007. "Structural Breaks in Public Infrastructure Investment in the U.S," Working Papers 55, Department of Economics, College of William and Mary. [Downloadable!]
  29. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
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  30. BEC, Frédérique & GOLLIER, Christian, 2007. "Assets Returns Volatility and Investment Horizon: The French Case," IDEI Working Papers 467, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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  31. James A. Kahn & Robert W. Rich, 2003. "Tracking the new economy: using growth theory to detect changes in trend productivity," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
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  32. Jamie Emerson & Chihwa Kao, 2006. "Testing for structural change in panel data: GDP growth, consumption growth, and productivity growth," Economics Bulletin, Economics Bulletin, vol. 3(14), pages 1-12. [Downloadable!]
  33. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City. [Downloadable!]
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  34. Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 10372, University Library of Munich, Germany. [Downloadable!]
  35. J Huston McCulloch, 2000. "State-Space Times Series Modeling of Structural Breaks," Working Papers 00-11, Ohio State University, Department of Economics. [Downloadable!]
  36. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
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  37. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  38. Hultblad, Brigitta & Karlsson, Sune, 2006. "Bayesian simultaneous determination of structural breaks and lag lengths," Working Paper Series in Economics and Finance 630, Stockholm School of Economics. [Downloadable!]
  39. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  40. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute. [Downloadable!]
  41. 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!]
  42. Ana Maria Herrero & Elena Pesavento, 2003. "The Decline In US Output Volatility: Structural Changes in Inventories or Sales?," Emory Economics 0301, Department of Economics, Emory University (Atlanta). [Downloadable!]
  43. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis. [Downloadable!]
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  44. Rafael Di Tella & Ernesto Schargrodsky, 2004. "Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack," American Economic Review, American Economic Association, vol. 94(1), pages 115-133, March. [Downloadable!]
  45. Antonio Afonso & Peter Claeys, 2007. "The dynamic behaviour of budget components and output," Working Paper Series 775, European Central Bank. [Downloadable!]
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  46. Charles I. Jones, 2003. "Growth, capital shares, and a new perspective on production functions," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
  47. Strikholm, Birgit, 2006. "Determining the number of breaks in a piecewise linear regression model," Working Paper Series in Economics and Finance 648, Stockholm School of Economics. [Downloadable!]
  48. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2002. "Level shifts in a panel data based unit root test. An application to the rate of unemployment," Working Papers in Economics 79, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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  49. Jonathan Treussard, 2005. "On the Validity of Risk Measures over Time: Value-at-Risk, Conditional Tail Expectations and the Bodie-Merton-Perold Put," Boston University - Department of Economics - Working Papers Series WP2005-029, Boston University - Department of Economics. [Downloadable!]
  50. Clifford L.F. Attfield, 2003. "Structural Breaks and Permanent Trends," Bristol Economics Discussion Papers 03/545, Department of Economics, University of Bristol, UK. [Downloadable!]
  51. Jonathan Temple & Cliff Attfield, 2004. "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003 101, Money Macro and Finance Research Group. [Downloadable!]
  52. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers 12694, Iowa State University, Department of Economics. [Downloadable!]
  53. Boivin, Jean & Giannoni, Marc, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers 5463, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  54. Mynbaev, Kairat, 2001. "The strengths and weaknesses of L2 approximable regressors," MPRA Paper 9056, University Library of Munich, Germany. [Downloadable!]
  55. James B. Bullard & John Duffy, 2004. "Learning and structural change in macroeconomic data," Working Papers 2004-016, Federal Reserve Bank of St. Louis. [Downloadable!]
  56. Frédérique Bec & Alexia Bastien, 2007. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4), pages 1342-1342. [Downloadable!] (restricted)
  57. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad, 2003. "Equity market liberalization in emerging markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 53-74. [Downloadable!]
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This page was last updated on 2008-11-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.