Parameter Constancy in Cointegrating Regressions

Citations

Cited by:

1. Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019. "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
   • Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 201419, University of Pretoria, Department of Economics.
   • Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
2. Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2015. "Novel panel cointegration tests emending for cross‐section dependence with N fixed," Econometrics Journal, Royal Economic Society, vol. 18(3), pages 363-411, October.
   • Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司 & Rao, Yao, 2013. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Discussion Papers 2013-12, Graduate School of Economics, Hitotsubashi University.
   • Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2014. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Economics Working Papers 14-02, Queen's Management School, Queen's University Belfast.
3. Julian Ramajo & Miguel A. Marquez, 1998. "Structural change in regional economies: A varying coefficients econometric modeling approach," ERSA conference papers ersa98p189, European Regional Science Association.
4. Bahmani-Oskooee, Mohsen & Bohl, Martin T., 2000. "German monetary unification and the stability of the German M3 money demand function," Economics Letters, Elsevier, vol. 66(2), pages 203-208, February.
5. 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, July.
   • Kurozumi, Eiji & 黒住, 英司 & Arai, Yoichi & 荒井, 洋一, 2005. "Efficient Estimation and Inference in Cointegrating Regressions with Structural Change," Discussion Papers 2004-09, Graduate School of Economics, Hitotsubashi University.
6. Antonio Pacifico, 2022. "Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure," Econometrics, MDPI, vol. 10(3), pages 1-24, July.
7. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
8. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
9. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
10. Masih, Rumi & Peters, Sanjay & De Mello, Lurion, 2011. "Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea," Energy Economics, Elsevier, vol. 33(5), pages 975-986, September.
    • MASIH Rumi & PETERS Sanjay, 2010. "Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea," EcoMod2003 330700096, EcoMod.
11. Suzanne McCoskey & Chihwa Kao, 1998. "A residual-based test of the null of cointegration in panel data," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 57-84.
    • Chihwa Kao & Suzanne McCoskey, 1997. "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics 9711002, University Library of Munich, Germany.
12. repec:ipg:wpaper:2014-474 is not listed on IDEAS
13. José Antonio Núñez & José Luis de la Cruz, 2004. "Productivity, Inflation, And Investment: An Analysis Of Causality," Econometric Society 2004 Latin American Meetings 154, Econometric Society.
14. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    • Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
    • Allan Gregory & Bruce E. Hansen, 1992. "Residual-based Tests For Cointegration In Models With Regime Shifts," Working Paper 862, Economics Department, Queen's University.
    • Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
    • Tom Doan, "undated". "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components RTZ00081, Boston College Department of Economics.
15. Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
16. P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
17. Byron Gangnes & Craig Parsons, 2007. "Have US–Japan Trade Agreements Made a Difference?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 12(4), pages 548-566.
    • Byron Gangnes & Craig Parsons, 2004. "Have US-Japan Trade Agreements Made a Difference?," Working Papers 200403, University of Hawaii at Manoa, Department of Economics.
    • Byron Gangnes & Craig Parsons, 2004. "Have U.S.-Japan Trade Agreements Made a Difference?," Working Papers 08-2004, Singapore Management University, School of Economics.
18. Xiao, Zhijie, 2009. "Functional-coefficient cointegration models," Journal of Econometrics, Elsevier, vol. 152(2), pages 81-92, October.
19. Chiquiar Daniel & Ramos Francia Manuel, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
20. Carlos Andrés Perilla Castro, 2001. "Capitales mínimos de los establecimientos de crédito," Monetaria, CEMLA, vol. 0(3), pages 271-353, julio-sep.
21. Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 503-522.
    • Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
    • Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics.
    • Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
22. Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank.
    • Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Cointegration in Panel Data with Breaks and Cross-section Dependence," Discussion Papers 11-25, Department of Economics, University of Birmingham.
    • Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute.
23. Kang Hao & Inder, Brett, 1996. "Diagnostic test for structural change in cointegrated regression models," Economics Letters, Elsevier, vol. 50(2), pages 179-187, February.
    • Hao, K. & Inder, B., 1994. "A Diagnostic Test for Structural Change in Cointegrated Regression Models," Monash Econometrics and Business Statistics Working Papers 19/94, Monash University, Department of Econometrics and Business Statistics.
24. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2013. "The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 24-34.
    • Vicente Esteve & Manuel Navarro-Ibáñez & Maria A. Prats, 2010. "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers 1001, Department of Applied Economics II, Universidad de Valencia.
    • Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2010. "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers 10-08, Asociación Española de Economía y Finanzas Internacionales.
25. Marcos Sanso & Antonio Montanes, 2002. "Cointegration, error correction mechanism and trade liberalization: the case of the Spanish imports of manufactures," Applied Economics, Taylor & Francis Journals, vol. 34(2), pages 231-240.
26. Elmer Sterken, 2004. "Demand for money and shortages in Ethiopia," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 759-769.
    • Sterken, Elmer, 1999. "Demand for money and shortages in Ethiopia," CDS Research Reports 199909, University of Groningen, Centre for Development Studies (CDS).
27. Daniel G. Garcés Díaz, 2003. "Agregados monetarios, inflación y actividad económica en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(1), pages 37-78.
28. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
    • Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    • Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
29. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    • Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
30. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
31. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
32. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
33. repec:dgr:rugcds:199909 is not listed on IDEAS
34. Luis A. Rivas & José de Jesús Rojas, 2001. "Precios relativos, inflación subyacente y metas de inflación: un análisis para Nicaragua," Monetaria, CEMLA, vol. 0(3), pages 355-380, julio-sep.
35. Hsu, Chih-Chiang, 2008. "A note on tests of partial parameter stability in the cointegrated system," Economics Letters, Elsevier, vol. 99(3), pages 500-503, June.
36. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
37. Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane, 2005. "Testing for the cointegration rank when some cointegrating directions are changing," Journal of Econometrics, Elsevier, vol. 124(2), pages 269-310, February.
38. Daniel G. Garcés Díaz, 2001. "Determinación del nivel de precios y la dinámica inflacionaria en México," Monetaria, CEMLA, vol. 0(3), pages 241-269, julio-sep.
39. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
    • Rodrigues, Paulo M.M. & Sibbertsen, Philipp & Voges, Michelle, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium," Hannover Economic Papers (HEP) dp-656, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
40. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
41. Erwin Nijsse & Elmer Sterken,, 1996. "Shortages, interest rates, and money demand in Poland, 1969-1995," Working Papers 25, Centre for Economic Research, University of Groningen and University of Twente.
42. Gawon Yoon, 1997. "Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 317-325.
43. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society.
44. Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
45. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
46. Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.
47. 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.