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Citations for "The CUSUM Test with OLS Residuals"

by Ploberger, Werner & Kramer, Walter

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  1. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Fiscal Spillovers in the Euro Area," CESifo Working Paper Series 3693, CESifo Group Munich.
  2. Marcellino, Massimiliano, 2002. "Instability and Non-Linearity in the EMU," CEPR Discussion Papers 3312, C.E.P.R. Discussion Papers.
  3. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2011. "China's Emergence in the World Economy and Business Cycles in Latin America," IDB Publications (Working Papers) 44738, Inter-American Development Bank.
  4. 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.
  5. Bicu, Andreea & Candelon, Bertrand, 2013. "On the importance of indirect banking vulnerabilities in the Eurozone," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5007-5024.
  6. Zhijie Xiao & Peter C.B. Phillips, 2001. "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers 1329, Cowles Foundation for Research in Economics, Yale University.
  7. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
  8. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, 08.
  9. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
  10. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
  11. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
  12. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
  13. Schäfer, Rudi & Guhr, Thomas, 2010. "Local normalization: Uncovering correlations in non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3856-3865.
  14. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  15. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
  16. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
  17. 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.
  18. repec:dau:papers:123456789/15030 is not listed on IDEAS
  19. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
  20. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 201308, University of Pretoria, Department of Economics.
  21. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  22. Dieppe, Alistair & Warmedinger, Thomas, 2007. "Modelling intra- and extra-area trade substitution and exchange rate pass-through in the euro area," Working Paper Series 0760, European Central Bank.
  23. Marcellino, Massimiliano, 2002. "Forecasting EMU Macroeconomic Variables," CEPR Discussion Papers 3529, C.E.P.R. Discussion Papers.
  24. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2011. "Inequality and Growth in Portugal: a time series analysis," GEMF Working Papers 2011-11, GEMF - Faculdade de Economia, Universidade de Coimbra.
  25. Ai Deng & Pierre Perron, 2007. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change," Boston University - Department of Economics - Working Papers Series WP2007-019, Boston University - Department of Economics.
  26. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  27. Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002. "Monitoring structural change in dynamic econometric models," Technical Reports 2002,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  28. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  29. Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
  30. Carolina Osorio & Filiz D Unsal, 2011. "Inflation Dynamics in Asia; Causes, Changes, and Spillovers From China," IMF Working Papers 11/257, International Monetary Fund.
  31. Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
  32. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers 336, Banque de France.
  33. Hao, K. & Inder, B., 1994. "A Diagnostic Test for Structural Change in Cointegrated Regression Models," Monash Econometrics and Business Statistics Working Papers 19/94, Monash University, Department of Econometrics and Business Statistics.
  34. Kapetanios, George & Yates, Tony, 2011. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Bank of England working papers 434, Bank of England.
  35. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo Group Munich.
  36. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
  37. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
  38. Cooray, Arusha & Paradiso, Antonio & Truglia, Francesco Giovanni, 2013. "Do countries belonging to the same region suggest the same growth enhancing variables? Evidence from selected South Asian countries," Economic Modelling, Elsevier, vol. 33(C), pages 772-779.
  39. Franses, Philip Hans, 2016. "A simple test for a bubble based on growth and acceleration," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 160-169.
  40. Ploberger, Werner & Kramer, Walter, 1996. "A trend-resistant test for structural change based on OLS residuals," Journal of Econometrics, Elsevier, vol. 70(1), pages 175-185, January.
  41. Stephane Dees, 2015. "Credit, Asset Prices and Business Cycles at the Global Level," ERSA conference papers ersa15p1517, European Regional Science Association.
  42. Willert, Juliane, 2010. "Mean Shift detection under long-range dependencies with ART," Hannover Economic Papers (HEP) dp-437, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  43. James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
  44. Krämer, Walter & Schich, Sebastian T., 2005. "Large-scale disasters and the insurance industry," Technical Reports 2005,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  45. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
  46. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00550460, HAL.
  47. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
  48. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  49. Edgar Merkle & Achim Zeileis, 2013. "Tests of Measurement Invariance Without Subgroups: A Generalization of Classical Methods," Psychometrika, Springer;The Psychometric Society, vol. 78(1), pages 59-82, January.
  50. Martin Feldstein & James H. Stock, 1994. "The Use of a Monetary Aggregate to Target Nominal GDP," NBER Chapters, in: Monetary Policy, pages 7-69 National Bureau of Economic Research, Inc.
  51. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
  52. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
  53. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  54. Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  55. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
  56. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  57. Jérôme Creel & Francesco Saraceno, 2008. "Automatic Stabilisation, Discretionary Policy and the Stability Pact," Working Papers hal-00973049, HAL.
  58. Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
  59. Edgar C. Merkle & Achim Zeileis, 2011. "Generalized Measurement Invariance Tests with Application to Factor Analysis," Working Papers 2011-09, Faculty of Economics and Statistics, University of Innsbruck.
  60. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  61. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  62. Zeileis, Achim, 2004. "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 11(i10).
  63. Stephane Dees & Arthur Saint-Guilhem, 2011. "The role of the United States in the global economy and its evolution over time," Empirical Economics, Springer, vol. 41(3), pages 573-591, December.
  64. Conniffe, Denis & Kelly, Robert, 2011. "Structural Breaks - An Instrumental Variable Approach," Research Technical Papers 4/RT/11, Central Bank of Ireland.
  65. 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.
  66. Jesse Tack & Rulon Pope & Jeffrey LaFrance & Ricardo Cavazos, 2014. "Modeling an Aggregate Agricultural Panel with Application to U.S. Farm Input Demands," Monash Economics Working Papers 23-14, Monash University, Department of Economics.
  67. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
  68. Jeffrey LaFrance, 2008. "The Structure of US Food Demand," Working Papers 2008-10, School of Economic Sciences, Washington State University.
  69. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
  70. Ahamada, Ibrahim, 2002. "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density," Economics Letters, Elsevier, vol. 77(2), pages 177-186, October.
  71. Essahbi Essaadi & Zied Ftiti, 2008. "The inflation Targeting effect on the inflation series: ANew Analysis Approach of evolutionary spectral analysis," Post-Print halshs-00355637, HAL.
  72. Paul Cashin & Kamiar Mohaddes & Mehdi Raissi & Maziar Raissi, 2012. "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," IMF Working Papers 12/253, International Monetary Fund.
  73. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  74. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  75. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  76. Yan Sun & Frigyes F Heinz & Giang Ho, 2013. "Cross-Country Linkages in Europe; A Global VAR Analysis," IMF Working Papers 13/194, International Monetary Fund.
  77. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
  78. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  79. Kapetanios, George, 2009. "Testing for strict stationarity in financial variables," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2346-2362, December.
  80. Fantazziini, Dean, 2014. "Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data," MPRA Paper 59696, University Library of Munich, Germany.
  81. El-Shagi, Makram & Giesen, Sebastian, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19/2010, Halle Institute for Economic Research (IWH).
  82. Juli Pausas & Santiago Fernández-Muñoz, 2012. "Fire regime changes in the Western Mediterranean Basin: from fuel-limited to drought-driven fire regime," Climatic Change, Springer, vol. 110(1), pages 215-226, January.
  83. LaFrance, Jeffrey T., 1999. "An Econometric Model of the Demand for Food and Nutrition," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2z5516c2, Department of Agricultural & Resource Economics, UC Berkeley.
  84. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  85. Elliott, Graham & Mueller, Ulrich K., 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series qt58n33447, Department of Economics, UC San Diego.
  86. Reza Habibi, 2010. "Distribution Approximations for Cusum and Cusumsq Statistics," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 11(3), pages 585-596, December.
  87. Ryuzo Miyao, 2004. "Use of Money Supply in the Conduct of Japan's Monetary Policy: Reexamining the Time Series Evidence," Discussion Paper Series 163, Research Institute for Economics & Business Administration, Kobe University.
  88. LaFrance, Jeffrey T., 1999. "U.S. Food and Nutrient Demand and the Effects of Agricultural Policies," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt52h9v4dq, Department of Agricultural & Resource Economics, UC Berkeley.
  89. Misund, Bård & Oglend, Atle, 2015. "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance 2015/10, University of Stavanger.
  90. Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005. "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers 2006,02, Christian-Albrechts-University of Kiel, Department of Economics.
  91. Fernando Morra, 2014. "Moderando Inflaciones Moderadas," Department of Economics, Working Papers 106, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  92. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
  93. Stephane Dees & Matthias Burgert & Nicolas Parent, 2008. "Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through," Staff Working Papers 08-39, Bank of Canada.
  94. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.
  95. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
  96. Lu, Xinhong & Maekawa, Koichi & Lee, Sangyeol, 2008. "The CUSUM of squares test for the stability of regression models with non-stationary regressors," Economics Letters, Elsevier, vol. 100(2), pages 234-237, August.
  97. Lee, Sangyeol & Park, Siyun, 2009. "The monitoring test for the stability of regression models with nonstationary regressors," Economics Letters, Elsevier, vol. 105(3), pages 250-252, December.
  98. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
  99. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  100. LaFrance, Jeffrey T, 2002. "Generalized rational random errors," CUDARE Working Paper Series 938, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  101. Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
  102. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
  103. Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers WP102, Economic and Social Research Institute (ESRI).
  104. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
  105. Gutierrez, Luciano & Piras, Francesco, 2014. "A global VAR model for the analysis of wheat export prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182723, European Association of Agricultural Economists.
  106. Denis Conniffe & John E. Spencer, 2000. "Approximating the Distribution of the R/s Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 237-248.
  107. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  108. Brodsky, Boris, 2008. "Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 11(3), pages 52-63.
  109. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  110. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
  111. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  112. Bos, Theodore & Ding, David & Fetherston, Thomas A., 1998. "Searching for periods of volatility: A study of the behavior of volatility in Thai stocks," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 295-306, August.
  113. Weber, Enzo & Weigand, Roland, 2016. "Identifying macroeconomic effects of refugee migration to Germany," IAB Discussion Paper 201620, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  114. O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
  115. George Kapetanios & Tony Yates, 2014. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
  116. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
  117. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  118. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  119. Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
  120. Ramalho, Esmeralda A. & Caleiro, António & Dionfsio, Andreia, 2011. "Explaining consumer confidence in Portugal," Journal of Economic Psychology, Elsevier, vol. 32(1), pages 25-32, February.
  121. S. Avouyi-Dovi & G. Horny & P. Sevestre, 2015. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working papers 547, Banque de France.
  122. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  123. Kapetanios, George, 2008. "Bootstrap-based tests for deterministic time-varying coefficients in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 534-545, December.
  124. Mohamed Safouane Ben Aissa & Mohamed Boutahar & Jamel Jouini, 2004. "Bai and Perron's and spectral density methods for structural change detection in the US inflation process," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 109-115.
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