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Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations

Author

Listed:
  • Hao, K.

Abstract

This paper compares and generalizes some testing procedures for structural change in the context of cointegrated regression models.

Suggested Citation

  • Hao, K., 1996. "Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations," Monash Econometrics and Business Statistics Working Papers 3/96, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1996-3
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    More about this item

    Keywords

    COINTEGRATION; TESTS;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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