End-of-Sample Cointegration Breakdown Tests
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- Donald W.K. Andrews & Jae-Young Kim, 2004. "End-of-Sample Cointegration Breakdown Tests," Yale School of Management Working Papers ysm344, Yale School of Management.
- Donald Andrews & Jae-Young Kim, 2004. "End-of-Sample Conintegratio Breakdown Tests," Econometric Society 2004 Far Eastern Meetings 795, Econometric Society.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
- Antonio MontanÈs & Marcos Sanso-Navarro, "undated". "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
- Carstensen, Kai & Gern, Klaus-Jürgen & Kamps, Christophe & Scheide, Joachim, 2003. "Euroland: Stagnation wird allmählich überwunden," Open Access Publications from Kiel Institute for the World Economy 3081, Kiel Institute for the World Economy (IfW).
- Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
- Manuel Ramos Francia & Daniel Chiquiar, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
- Paul Blackley, 2009. "The change in aggregate budget behavior in the 1990s: a cointegration-error correction model analysis," Public Choice, Springer, vol. 138(3), pages 475-482, March.
More about this item
KeywordsCointegration; Least squares estimator; Model breakdown; Parameter change test; Structural change;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-25 (All new papers)
- NEP-ECM-2003-03-25 (Econometrics)
- NEP-ETS-2003-03-25 (Econometric Time Series)
- NEP-IFN-2003-03-25 (International Finance)
- NEP-RMG-2003-03-25 (Risk Management)
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