Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Karaman Örsal, Deniz Dilan & Arsova, Antonia, 2016. "A panel cointegration rank test with structural breaks and cross-sectional dependence," Annual Conference 2016 (Augsburg): Demographic Change 145822, Verein für Socialpolitik / German Economic Association.
- Kim, J.W. & Leatham, D.J. & Bessler, D.A., 2007. "REITs' dynamics under structural change with unknown break points," Journal of Housing Economics, Elsevier, vol. 16(1), pages 37-58, March.
- Naser, Hanan, 2014. "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper 65252, University Library of Munich, Germany, revised 25 Mar 2015.
- Farid MAKHLOUF & Khaled CHNAINA, 2012. "Impact des Transferts de Fonds sur le Taux de Change RÃ©el Effectif en Tunisie," Working Papers 2011-2012_4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Feb 2012.
- 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).
- repec:agr:journl:v:3(604):y:2015:i:3(604):p:5-20 is not listed on IDEAS
- Naser, Hanan, 2015. "Analysing the long-run relationship among oil market, nuclear energy consumption, and economic growth: An evidence from emerging economies," Energy, Elsevier, vol. 89(C), pages 421-434.
More about this item
KeywordsCointegration; Cointegrating rank test; Structural break; Vector autoregressive process; Error correction model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-27 (All new papers)
- NEP-ECM-2004-06-27 (Econometrics)
- NEP-ETS-2004-06-27 (Econometric Time Series)
StatisticsAccess and download statistics
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:eui:euiwps:eco2004/21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julia Valerio). General contact details of provider: http://edirc.repec.org/data/deiueit.html .
We have no references for this item. You can help adding them by using this form .