IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v62y2000i1p23-52.html
   My bibliography  Save this article

Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model

Author

Listed:
  • Miguel A. Arranz
  • Alvaro Escribano

Abstract

No abstract is available for this item.

Suggested Citation

  • Miguel A. Arranz & Alvaro Escribano, 2000. "Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 23-52, February.
    • Handle: RePEc:bla:obuest:v:62:y:2000:i:1:p:23-52
    DOI: 10.1111/1468-0084.00158
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-0084.00158
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-0084.00158?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 179-208, June.
    2. Dimnwobi, Stephen Kelechi & Madichie, Chekwube V. & Ekesiobi, Chukwunonso & Asongu, Simplice A., 2022. "Financial development and renewable energy consumption in Nigeria," Renewable Energy, Elsevier, vol. 192(C), pages 668-677.
    3. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    4. Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2022. "Futures–spot price transmission in EU corn markets," Agribusiness, John Wiley & Sons, Ltd., vol. 38(3), pages 679-709, July.
    6. Alvaro Escribano & Roberto Pascual, 2008. "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82, Springer.
    7. Bunn, Derek & Koc, Veli & Sapio, Alessandro, 2015. "Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market," Energy Economics, Elsevier, vol. 48(C), pages 265-275.
    8. Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
    9. Razvan Pascalau & Junsoo Lee & Saban Nazlioglu & Yan (Olivia) Lu, 2022. "Johansen‐type cointegration tests with a Fourier function," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 828-852, September.
    10. Aparicio, Felipe M. & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Aparicio, Felipe M. & Arranz, Miguel A., 2000. "A model free cointegration approach for pairs of I(d) variables," DES - Working Papers. Statistics and Econometrics. WS 9967, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:62:y:2000:i:1:p:23-52. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.