Tests for cointegration with structural breaks based on subsamples
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- James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, Exeter University, Department of Economics.
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Cited by:
- De Wachter, Stefan & Tzavalis, Elias, 2012.
"Detection of structural breaks in linear dynamic panel data models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3020-3034.
- Stefan de Wachter & Elias Tzavalis, 2004. "Detection of Structural Breaks in Linear Dynamic Panel Data Models," Working Papers 505, Queen Mary University of London, School of Economics and Finance.
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- Atle Oglend, Morten E. Lindbäck, and Petter Osmundsen, 2015. "Shale Gas Boom Affecting the Relationship Between LPG and Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Lindback, Morten & Osmundsen, Petter & Øglend, Atle, 2013. "Shale Gas and the Relationship between U.S. Natural Gas, Liquified Petroleum Gases and Oil Market," UiS Working Papers in Economics and Finance 2013/5, University of Stavanger.
- Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
- Martins, Luis F. & Rodrigues, Paulo M.M., 2014.
"Testing for persistence change in fractionally integrated models: An application to world inflation rates,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 502-522.
- Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
More about this item
Keywords
Level shift Regime shift Cointegration Brownian motion;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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