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Citations for "A new test for structural stability in the linear regression model"

by Ploberger, Werner & Kramer, Walter & Kontrus, Karl

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  1. Berlin Wu & Liyang Chen, 2006. "Use of Partial Cumulative Sum to Detect Trends and Change Periods for Nonlinear Time Series," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 2(2), pages 123-145, July.
  2. Carsoule, F. & Franses, Ph.H.B.F., 1999. "Monitoring structural change in variance," Econometric Institute Research Papers EI 9925A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Jamal HUSEIN, 2008. "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2).
  4. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Department of Economics, University of Leicester.
  5. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  6. Nicolau, João, 2016. "Structural change test in duration of bull and bear markets," Economics Letters, Elsevier, vol. 146(C), pages 64-67.
  7. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 411-435.
  8. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  9. Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005. "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series 0568, European Central Bank.
  10. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
  11. Andrew Hughes Hallett & Christian Richter, 2008. "Have the Eurozone economies converged on a common European cycle?," International Economics and Economic Policy, Springer, vol. 5(1), pages 71-101, July.
  12. Campiche, Jody L. & Bryant, Henry L. & Richardson, James W. & Outlaw, Joe L., 2007. "Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9881, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  13. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
  14. 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.
  15. 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.
  16. Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Economics Bulletin, AccessEcon, vol. 29(2), pages 1139-1155.
  17. Merih Uctum & Thom Thurston & Remzi Uctum, 2006. "Public Debt, the Unit Root Hypothesis and Structural Breaks: A Multi-Country Analysis," Economica, London School of Economics and Political Science, vol. 73(289), pages 129-156, 02.
  18. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, vol. 54(4), pages 1131-1145, November.
  19. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
  20. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
  21. Kent Friberg, 2007. "Intersectoral wage linkages: the case of Sweden," Empirical Economics, Springer, vol. 32(1), pages 161-184, April.
  22. Pierre Perron & Tomoyoshi Yabu, 2005. "Estimating Deterministric Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-037, Boston University - Department of Economics.
  23. Andrew Hughes Hallett & Christian Richter, 2006. "Is the convergence of business cycles a global or regional issue? The UK, US and Euroland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 177-194.
  24. Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2012. "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," Working Papers 432, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  26. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
  27. Andrew Hughes Hallett & Christian Richter, 2009. "Is the US no longer the economy of first resort? Changing economic relationships in the Asia-Pacific region," International Economics and Economic Policy, Springer, vol. 6(2), pages 207-234, July.
  28. Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
  29. Luis Fernando melo V. & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a traves de Minimos Cuadrados Flexibles," Borradores de Economia 282, Banco de la Republica de Colombia.
  30. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  31. Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.
  32. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  33. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  34. Wang, Jin-ming & Gao, Tie-mei & McNown, Robert, 2009. "Measuring Chinese business cycles with dynamic factor models," Journal of Asian Economics, Elsevier, vol. 20(2), pages 89-97, March.
  35. Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.
  36. repec:zbw:rwirep:0171 is not listed on IDEAS
  37. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  38. Duncan Fong & Wayne DeSarbo, 2007. "A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research," Quantitative Marketing and Economics (QME), Springer, vol. 5(4), pages 427-453, December.
  39. Olmo, J. & Pilbeam, K. & Pouliot, W., 2009. "Detecting the Presence of Informed Price Trading Via Structural Break Tests," Working Papers 09/10, Department of Economics, City University London.
  40. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
  41. Enzo Weber, 2007. "What Happened to the Transatlantic Capital Market Relations?," SFB 649 Discussion Papers SFB649DP2007-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  42. Giovanni Forchini, . "The Geometry of Similar Tests for Structural Change," Discussion Papers 00/55, Department of Economics, University of York.
  43. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  44. Greene, Clinton A., 2002. "Was money demand in the USA unstable before 1982? An application of the sup-F stability test," Journal of Economics and Business, Elsevier, vol. 54(5), pages 465-481.
  45. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 229-259, May.
  46. 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.
  47. Zhang, Dengjun & Asche, Frank & Oglend, Atle, 2014. "Ethanol and trade: An analysis of price transmission in the US market," Energy Economics, Elsevier, vol. 42(C), pages 1-8.
  48. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
  49. Pelipas, Igor, 2006. "Money demand and inflation in Belarus: Evidence from cointegrated VAR," Research in International Business and Finance, Elsevier, vol. 20(2), pages 200-214, June.
  50. 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.
  51. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  52. Pouliot, W. & Olmo, J., 2008. "U-statistic Type Tests for Structural Breaks in Linear Regression Models," Working Papers 08/15, Department of Economics, City University London.
  53. Dominik Wied & Daniel Ziggel & Tobias Berens, 2013. "On the application of new tests for structural changes on global minimum-variance portfolios," Statistical Papers, Springer, vol. 54(4), pages 955-975, November.
  54. Maria do Rosario Correia & Reinhard Neck & Theodore Panagiotidis & Christian Richter, 2008. "An empirical investigation of the sustainability of the public deficit in Portugal," International Economics and Economic Policy, Springer, vol. 5(1), pages 209-223, July.
  55. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
  56. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 201308, University of Pretoria, Department of Economics.
  57. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June.
  58. Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo Group Munich.
  59. Kai Carstensen, 2003. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy.
  60. Friberg, Kent, 2003. "Intersectoral Wage Linkages in Sweden," Working Paper Series 158, Sveriges Riksbank (Central Bank of Sweden).
  61. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  62. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics.
  63. Michael A. Flor, 2014. "Post Reunification Economic Fluctuations in Germany: A Real Business Cycle Interpretation," Discussion Paper Series 324, Universitaet Augsburg, Institute for Economics.
  64. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  65. Kuan, Chung-Ming, 1999. "A note on tests for partial parameter instability in the trend stationary model," Economics Letters, Elsevier, vol. 65(3), pages 285-291, December.
  66. 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.
  67. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  68. Xiao, Zhijie, 1999. "A residual based test for the null hypothesis of cointegration," Economics Letters, Elsevier, vol. 64(2), pages 133-141, August.
  69. Massa, Massimo & Simonov, Andrei, 2005. "Is learning a dimension of risk?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2605-2632, October.
  70. WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013. "Can federal reserve policy deviation explain response patterns of financial markets over time?," CORE Discussion Papers 2013029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  71. 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.
  72. Fabio Canova, 2004. "Testing for Convergence Clubs in Income Per Capita: A Predictive Density Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 49-77, 02.
  73. Sharma, Abhijit & Balcombe, Kelvin & Fraser, Iain, 2009. "Non-renewable Resource Prices: Structural Breaks and Long Term Trends," MPRA Paper 16948, University Library of Munich, Germany.
  74. Axel A Weber & Rafael Gerke & Andreas Worms, 2009. "Has the monetary transmission process in the euro area changed? Evidence vased on VAR estimates," BIS Working Papers 276, Bank for International Settlements.
  75. Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, vol. 3(2), pages 350-376, June.
  76. repec:dau:papers:123456789/15030 is not listed on IDEAS
  77. Michael Flor, 2014. "Post Reunification Economic Fluctuations in Germany: A Real Business Cycle Interpretation," Working Papers 146, Bavarian Graduate Program in Economics (BGPE).
  78. Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Economics Working Paper Archive at Hunter College 406, Hunter College Department of Economics, revised 2005.
  79. Gadea, María Dolores & Kaabia, Monia Ben & Sabaté, Marcela, 2009. "Exchange rate regimes and prices: The cases of Italy, Spain and the United Kingdom (1874-1998)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 477-489, July.
  80. Gómez-Déniz, E., 2004. "A note on mixture prior distributions with applications in actuarial statistic/Sobre las Distribuciones a Priori Mixtas con Aplicaciones en la Estadística Actuarial," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 372 (15 pág, Agosto.
  81. Kim, Soyoung & Lima, Luiz Renato, 2010. "Local persistence and the PPP hypothesis," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 555-569, April.
  82. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
  83. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
  84. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  85. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques," Ruhr Economic Papers 0171, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  86. 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.
  87. 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.
  88. Dongsoon Park, 1992. "Inflation and uncertainty: the case of Korea," Pacific Basin Working Paper Series 92-07, Federal Reserve Bank of San Francisco.
  89. Maasoumi, Esfandiar & Zaman, Asad & Ahmed, Mumtaz, 2010. "Tests for structural change, aggregation, and homogeneity," Economic Modelling, Elsevier, vol. 27(6), pages 1382-1391, November.
  90. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  91. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.
  92. Mario Cunha & Christian Richter, 2010. "Modelling the Cyclical Behaviour of Wine Production in the Douro Region Using a Time-Varying Parameters Approach," Working Papers 2010.1, International Network for Economic Research - INFER.
  93. Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
  94. Burcu Kapar & William Pouliot, 2013. "Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes," Discussion Papers 13-13, Department of Economics, University of Birmingham.
  95. Andrew Hughes Hallett & Christian Richter, 2009. "Has there been any structural convergence in the transmission of European monetary policies?," International Economics and Economic Policy, Springer, vol. 6(2), pages 85-101, July.
  96. Donald W.K. Andrews & Werner Ploberger, 1993. "Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative," Cowles Foundation Discussion Papers 1058, Cowles Foundation for Research in Economics, Yale University.
  97. Céline Gauthier & Fu Chun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Staff Working Papers 06-42, Bank of Canada.
  98. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  99. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  100. Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
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