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Citations for "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series"

by Vogelsang, Timothy J.

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  1. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
  2. Suleiman Abu-Bader & Aamer S. Abu-Qarn, 2006. "Trade Liberalization Or Oil Shocks: Which Explains Structural Breaks In International Trade Ratios?," Working Papers 0613, Ben-Gurion University of the Negev, Department of Economics.
  3. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
  4. repec:ebl:ecbull:v:5:y:2007:i:5:p:1-14 is not listed on IDEAS
  5. Serena Ng & Timothy Vogelsang, 2002. "Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 353-381.
  6. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  7. Abu-Qarn Aamer S & Abu-Bader Suleiman, 2008. "Structural Breaks in Military Expenditures: Evidence for Egypt, Israel, Jordan and Syria," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 14(1), pages 1-25, April.
  8. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
  9. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  10. Benati, Luca, 2007. "Drift and breaks in labor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
  11. Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014. "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 845-861, 04.
  12. Hooi Hooi Lean & Russell Smyth, 2006. "Asian Financial Crisis, Avian Flu And Terrorist Threats: Are Shocks To Malaysian Tourist Arrivals Permanent Or Transitory?," Monash Economics Working Papers 11/06, Monash University, Department of Economics.
  13. Feng, Siyi J. & Patton, Myles, 2013. "Evolvement of Market Integration between EU and World Agricultural Markets," 87th Annual Conference, April 8-10, 2013, Warwick University, Coventry, UK 158862, Agricultural Economics Society.
  14. Alfonso Herranz Loncán, 2004. "La dotación de infraestructuras en España, (1844-1935)," Estudios de Historia Económica, Banco de España;Estudios de Historia Económica Homepage, number 45.
  15. Olga Loiseau-Aslanidi, 2011. "Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 75-95, July.
  16. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Testing for Shifts in Trend With an Integrated or Stationary Noise Component," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 369-396.
  17. Rothaermel, Frank T., 2001. "Complementary assets, strategic alliances, and the incumbent's advantage: an empirical study of industry and firm effects in the biopharmaceutical industry," Research Policy, Elsevier, vol. 30(8), pages 1235-1251, October.
  18. Suleiman ABU-BADER & Aamer S. ABU-QARN, 2008. "The Impact Of Gatt On International Trade: Evidence From Structural Break Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 23-36.
  19. Herranz-Loncan, Alfonso, 2007. "Infrastructure investment and Spanish economic growth, 1850-1935," Explorations in Economic History, Elsevier, vol. 44(3), pages 452-468, July.
  20. Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
  21. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
  22. Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
  23. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Unit root testing under a local break in trend," Journal of Econometrics, Elsevier, vol. 167(1), pages 140-167.
  24. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
  25. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
  26. Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 50-65, January.
  27. Kim-Leng Goh & Yoke-Chen Wong & Kim-Lian Kok, 2005. "Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 359-377, June.
  28. Kim-Leng Goh & Sook-Lu Yong, 2007. "Bank lending and monetary policy: the effects of structural shift in interest rates," Economics Bulletin, AccessEcon, vol. 5(5), pages 1-14.
  29. Kim, Dukpa & Perron, Pierre, 2009. "Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope," Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
  30. Seong Yeon Chang & Pierre Perron, 2016. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 555-574, 07.
  31. Travaglini, Guido, 2008. "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper 7108, University Library of Munich, Germany.
  32. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  33. Jan Hanousek & Evžen Kočenda, 2011. "Public Investment and Fiscal Performance in the New EU Member States," Fiscal Studies, Institute for Fiscal Studies, vol. 32(1), pages 43-71, 03.
  34. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  35. Nikolaos Giannellis & Athanasios P. Papadopoulos, 2006. "Purchasing Power Parity among Developing Countries and their Trade-Partners. Evidence from Selected CEEC and Implications for their Membership of EU," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 9(1), pages 39-56, Summer.
  36. Sanz-Villarroya, Isabel, 2005. "The convergence process of Argentina with Australia and Canada: 1875-2000," Explorations in Economic History, Elsevier, vol. 42(3), pages 439-458, July.
  37. Dragan Miljkovic & Gary Brester & John Marsh, 2003. "Exchange rate pass-through, price discrimination, and US meat export prices," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 641-650.
  38. Jan Hanousek & Evžen Kočenda, 2011. "Vazba korupce a hospodářské svobody na veřejné finance a investice nových členů EU
    [Corruption and Economic Freedom Links to Public Finance and Investment in New EU Members]
    ," Politická ekonomie, University of Economics, Prague, vol. 2011(3), pages 310-328.
  39. Papell, David H. & Prodan, Ruxandra, 2014. "Long run time series tests of constant steady-state growth," Economic Modelling, Elsevier, vol. 42(C), pages 464-474.
  40. Deleersnyder, B. & Geyskens, I. & Gielens, K.J.P. & Dekimpe, M.G., 2002. "How cannibalistic is the internet channel? A study of the newspaper industry in the United Kingdom and the Netherlands," Other publications TiSEM 16dcb25c-7ea9-4c75-bdf6-5, Tilburg University, School of Economics and Management.
  41. Maria-Helena A. Dias & Joilson Dias & Charles L. Evans, 2004. "Estimation Of The Cyclical Component Of Economic Time Series," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 104, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  42. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  43. Huang, Kaixing, 2016. "The postwar growth slowdown and the path of economic development," MPRA Paper 80988, University Library of Munich, Germany, revised 01 Aug 2017.
  44. 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.
  45. Ben-David, Dan & Papell, David H., 1997. "International trade and structural change," Journal of International Economics, Elsevier, vol. 43(3-4), pages 513-523, November.
  46. Taiji Harashima, 2004. "A More Realistic Endogenous Time Preference Model and the Slump in Japan," Macroeconomics 0402015, EconWPA, revised 09 Feb 2004.
  47. Ted Juhl, 2004. "A nonparametric adjustment for tests of changing mean," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-11.
  48. repec:ebl:ecbull:v:3:y:2004:i:34:p:1-11 is not listed on IDEAS
  49. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  50. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  51. Lee, Chien-Chiang & Chien, Mei-Se, 2008. "Structural breaks, tourism development, and economic growth: Evidence from Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 358-368.
  52. repec:sbe:breart:v:30:y:2010:i:1:a:3503 is not listed on IDEAS
  53. Stan Shun-Pinn Lee & Kim-Leng Goh, 2016. "Regional and International Linkages of the ASEAN-5 Stock Markets: A Multivariate Garch Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 49-71.
  54. Chun, Rodney M., 2000. "Compensation vouchers and equity markets: Evidence from Hungary," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1155-1178, July.
  55. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
  56. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2002. "Level shifts in a panel data based unit root test. An application to the rate of unemployment," Working Papers in Economics 79, Universitat de Barcelona. Espai de Recerca en Economia.
  57. Xiao-Ming Li, 2004. "A Quasi-Bayesian Analysis of Structural Breaks: China's Output and Productivity Series," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 57-65, April.
  58. de Boyrie Maria E, 2010. "Structural Changes, Causality, and Foreign Direct Investments: Evidence from the Asian Crises of 1997," Global Economy Journal, De Gruyter, vol. 9(4), pages 1-40, January.
  59. Jamie Emerson & Chihwa Kao, 2000. "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers 15, Center for Policy Research, Maxwell School, Syracuse University.
  60. Wu, Jilin, 2015. "Restoring monotonic power in Wald/LM-type tests," Economics Letters, Elsevier, vol. 126(C), pages 13-17.
  61. Miljkovic, Dragan & Paul, Rodney, 2003. "Agricultural trade in North America: Trade creation, regionalism and regionalisation," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(3), September.
  62. Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
  63. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  64. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.
  65. Rothaermel, Frank T. & Thursby, Marie, 2007. "The nanotech versus the biotech revolution: Sources of productivity in incumbent firm research," Research Policy, Elsevier, vol. 36(6), pages 832-849, July.
  66. Ozgen Sayginsoy & Tim Vogelsang, 2004. "Powerful Tests of Structural Change That are Robust to Strong Serial Correlation," Discussion Papers 04-08, University at Albany, SUNY, Department of Economics.
  67. repec:ebl:ecbull:v:3:y:2006:i:14:p:1-12 is not listed on IDEAS
  68. Sobreira, Nuno & Nunesz, Luis C. & Rodriguesz, Paulo M. M., 2012. "Neoclassical, semi-endogenous or endogenous growth theory? Evidence based on new structural change tests," Insper Working Papers wpe_291, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  69. Cheong, Chin Wen, 2008. "Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 889-898.
  70. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
  71. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
  72. Abu-Bader Suleiman & Abu-Qarn Aamer S, 2008. "The Relationship between GATT Membership and Structural Breaks in International Trade," Global Economy Journal, De Gruyter, vol. 8(4), pages 1-16, December.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.