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Some comparisons of tests for a shift in the slopes of a multivariate linear time series model

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  1. Enders, Walter & Holt, Matthew T., 2011. "Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals," MPRA Paper 31461, University Library of Munich, Germany.
  2. Tsangyao Chang & Yuan-Hong Ho & Chiung-Ju Huang, 2005. "A Reexamination Of South Korea¡¯S Aggregate Import Demand Function: The Bounds Test Analysis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 30(1), pages 119-128, June.
  3. Vanzetti, David & Quiggin, John C., 1985. "A Comparative Analysis Of Agricultural Tractor Investment Models," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 29(2), pages 1-20, August.
  4. Conniffe, Denis & Kelly, Robert, 2011. "Structural Breaks - An Instrumental Variable Approach," Research Technical Papers 4/RT/11, Central Bank of Ireland.
  5. Augustine C. Arize & Ali F. Darrat & Donald J. Meyer, 1990. "Capital Mobility, Monetization, and Money Demand in Developing Economies," The American Economist, Sage Publications, vol. 34(1), pages 69-75, March.
  6. Ali F. Darrat, 1985. "Does Anticipated Fiscal Policy Matter? The Italian Evidence," Public Finance Review, , vol. 13(3), pages 339-352, July.
  7. Richard A. Ashley. & Randall J. Verbrugge., 2006. "Mis-Specification and Frequency Dependence in a New Keynesian Phillips Curve," Working Papers e06-12, Virginia Polytechnic Institute and State University, Department of Economics.
  8. Marchetti, D.J. & Parigi, G., 1998. "Energy Consumption, Survey Data and the Prediction of Industrial Production in Italy," Papers 342, Banca Italia - Servizio di Studi.
  9. Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
  10. Erenburg, S. J. & Wohar, Mark E., 1995. "Public and private investment: Are there causal linkages?," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 1-30.
  11. Matthew T. Holt & Joseph V. Balagtas, 2009. "Estimating Structural Change with Smooth Transition Regressions: An Application to Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(5), pages 1424-1431.
  12. Darrat, Ali F. & Al-Mutawa, Ahmed, 1996. "Modelling money demand in the United Arab Emirates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 65-87.
  13. Miller, Stephen E., 1990. "Retail Food Store Inventory Behavior," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(1), pages 1-11, July.
  14. William J. Martin & Darrell Porter, 1985. "Testing For Changes In The Structure Of The Demand For Meat In Australia," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 29(1), pages 16-31, April.
  15. Koshala, Rajindar K. & Koshal, Manjulika & Boyd, Roy G. & Rachmany, Hasan, 1999. "Demand for kerosene in developing countries: A case of Indonesia," Journal of Asian Economics, Elsevier, vol. 10(2), pages 329-336.
  16. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
  17. Augustine C. Arize, 1991. "Currency Substitution in Korea," The American Economist, Sage Publications, vol. 35(2), pages 67-72, October.
  18. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
  19. Teal, Francis & Dickson, Andrew & Porter, Darrell & Whiteford, Diane, 1987. "Japanese beef policies: implications for trade, prices and market shares," Australian Bureau of Agricultural and Resource Economics and Sciences (ABARES) Archive 316182, Australian Government, Australian Bureau of Agricultural and Resource Economics and Sciences.
  20. G. S. Laumas & J. S. Fackler, 1987. "Economic Instability and the Demand for Money, 1908-1980," Eastern Economic Journal, Eastern Economic Association, vol. 13(3), pages 249-257, Jul-Sep.
  21. Ali F. Darrat, 1993. "Mukhtar M. Metwally: Towards Abolishing the Rate of Interest in Contemporary Islamic Societies, Comment مختار متولي: نحو إلغاء معدلات الاهتمام في المجتمعات الإسلامية المعاصرة - تعليق: علي ضراط," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 5(1), pages 39-49, January.
  22. J. Andrew Coutts & Terence Mills & Jennifer Roberts, 1997. "Time series and cross-section parameter stability in the market model: the implications for event studies," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 243-259.
  23. Ali F. Darrat, 1988. "Rational Expectations and the Role of Monetary Policy: Some Tests Based on the Fisher Equation," Eastern Economic Journal, Eastern Economic Association, vol. 14(3), pages 211-219, Jul-Sep.
  24. Hinich, Melvin J. & Foster, John & Wild, Phillip, 2006. "Structural change in macroeconomic time series: A complex systems perspective," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 136-150, March.
  25. Ralf Becker & Walter Enders & Stan Hurn, 2001. "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation," Research Paper Series 67, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Green, Richard D. & Carman, Hoy F. & McManus, Kathleen, 1991. "Some Empirical Methods Of Estimating Advertising Effects In Demand Systems: An Application To Dried Fruits," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(1), pages 1-9, July.
  27. Darrat, Ali F. & Lopez, Franklin A., 1988. "Price instability and inflation : Some tests based on rational expectations models," Economics Letters, Elsevier, vol. 26(2), pages 111-119.
  28. Rudy Rahmaddi & Masaru Ichihashi, 2011. "How Do Foreign and Domestic Demand Affect Exports Performance? An Econometric Investigation of Indonesia's Exports," IDEC DP2 Series 1-4, Hiroshima University, Graduate School for International Development and Cooperation (IDEC), revised Jan 2012.
  29. Darrat, Ali F. & Al-Mutawa, Ahmed & Benkato, Omar M., 1996. "On currency substitution and money demand instability," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 321-334.
  30. Ingco, Merlinda D. & Manderscheid, Lester V., 1988. "Modelling Parameter Variation in Econometric Models: A Handbook," Agricultural Economic Report Series 201375, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  31. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
  32. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
  33. Ingco, Merlinda D. & Hilker, James H., 1988. "Michigan State University Agriculture Model: U.S. Livestock and Poultry Supply and Demand Component -- Model Structure, Specification, and Empirical Results," Agricultural Economic Report Series 201371, Michigan State University, Department of Agricultural, Food, and Resource Economics.
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