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Citations for "Testing for structural breaks in cointegrated relationships"

by Gregory, Allan W. & Nason, James M. & Watt, David G.

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  1. Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Business School - Economics, University of Glasgow.
  2. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
  3. Cook, Steven, 2006. "Testing for cointegration in the presence of mis-specified structural change," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1380-1384, July.
  4. repec:zbw:iwhdps:113 is not listed on IDEAS
  5. Sander, Harald & Kleimeier, Stefanie, 2004. "Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 461-492, April.
  6. Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011. "Carbon Price Drivers: Phase I Versus Phase II Equilibrium?," Working Papers 2011-09, CEPII research center.
  7. Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
  8. Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
  9. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001. "A simple method for testing cointegration subject to regime changes," NIPE Working Papers 15/2001, NIPE - Universidade do Minho.
  10. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2013. "Market efficiency in the European carbon markets," Post-Print halshs-00846679, HAL.
  11. Guidi, Francesco & Gupta, Rakesh, 2010. "Cointegration and conditional correlations among German and Eastern Europe equity markets," MPRA Paper 21732, University Library of Munich, Germany.
  12. Luciano Gutierrez, 2005. "Tests for cointegration in panels with regime shifts," Econometrics 0505007, EconWPA.
  13. Yaya Keho, 2016. "Testing Wagner’s Law in the Presence of Structural Changes: New Evidence from Six African Countries (1960-2013)," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 1-6.
  14. Víctor-Hugo Alcalá Ríos & Manuel Gómez Zaldívar & Daniel Ventosa-Santaulària, 2011. "Paradoja Feldstein-Horioka: el caso de México (1950-2007)," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 26(2), pages 293-313.
  15. Pradhan, Basanta K. & Subramanian, A., 2003. "On the stability of demand for money in a developing economy: Some empirical issues," Journal of Development Economics, Elsevier, vol. 72(1), pages 335-351, October.
  16. Hsu, Chih-Chiang, 2008. "A note on tests of partial parameter stability in the cointegrated system," Economics Letters, Elsevier, vol. 99(3), pages 500-503, June.
  17. Dreger, Christian & Schumacher, Christian, 2000. "Zur empirischen Evidenz der Cobb-Douglas-Technologie in gesamtdeutschen Zeitreihen," IWH Discussion Papers 113, Halle Institute for Economic Research (IWH).
  18. Takatoshi Ito & Kimie Harada, 2000. "Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises," NBER Working Papers 7997, National Bureau of Economic Research, Inc.
  19. repec:ebl:ecbull:v:3:y:2005:i:53:p:1-11 is not listed on IDEAS
  20. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
  21. Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari, 2015. "Exchange Rate and Monetary Fundamentals: Long Run Relationship Revisited," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(1), pages 33-54, March.
  22. Francisco de Castro & José M. González-Páramo & Pablo Hernández de Cos, 2001. "Evaluating the dynamics of fiscal policy in Spain: patterns of interdependence and consistency of public expenditure and revenues," Working Papers 0103, Banco de España;Working Papers Homepage.
  23. Thai-Ha Le, 2015. "Exchange rate determination in Vietnam," Economics Bulletin, AccessEcon, vol. 35(1), pages 657-664.
  24. Carsten Trenkler*, 2005. "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 89(3), pages 281-301, August.
  25. Dilem Yıldırım & Ethem Erdem Orman, 2016. "The Feldstein-Horioka Puzzle in the Presence of Structural Breaks: Evidence from China," ERC Working Papers 1601, ERC - Economic Research Center, Middle East Technical University, revised Jan 2016.
  26. Carsten-Patrick Meier, 1999. "Predicting Real Exchange Rates from Real Interest Rate Differentials and Net Foreign Asset Stocks: Evidence for the Mark/Dollar Parity," Kiel Working Papers 962, Kiel Institute for the World Economy.
  27. Pulapre Balakrishnan & Mausumi Das & M. Parameswaran, 2015. "The Mechanism of Long-Term Growth in India," Working Papers id:6414, eSocialSciences.
  28. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.
  29. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Staff Working Papers 05-41, Bank of Canada.
  30. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
  31. 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.
  32. repec:cii:cepiei:2012-q3-131-4 is not listed on IDEAS
  33. Francisco De Castro & Pablo Hernández De Cos, 2002. "On the sustainability of the Spanish public budget performance," Hacienda Pública Española, IEF, vol. 160(1), pages 9-28, march.
  34. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
  35. Camarero, Mariam & Tamarit, Cecilio, 2002. "Instability tests in cointegration relationships. An application to the term structure of interest rates," Economic Modelling, Elsevier, vol. 19(5), pages 783-799, November.
  36. Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 146-162.
  37. Steven Cook, 2005. "Threshold autoregressive testing procedures and structural change in cointegrating relationships," Economics Bulletin, AccessEcon, vol. 3(53), pages 1-11.
  38. Erten, Irem & Okay, Nesrin, 2012. "Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011," MPRA Paper 56191, University Library of Munich, Germany.
  39. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
  40. repec:ipg:wpaper:2014-458 is not listed on IDEAS
  41. Meier, Carsten-Patrick, 1999. "Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity," Kiel Working Papers 962, Kiel Institute for the World Economy (IfW).
  42. Kleimeier, Stefanie & Sander, Harald, 2000. "Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1005-1043, June.
  43. Brigida, Matthew, 2014. "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, vol. 43(C), pages 48-55.
  44. Neto, David, 2014. "The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 125(2), pages 208-211.
  45. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
  46. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
  47. Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memorandum 060, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  48. Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 119-136.
  49. Olusegun A. Omisakin & Oluwatosin A. Adeniyi, 2014. "Structural Breaks and Finance-Driven Growth Hypothesis in ECOWAS: Further Empirical Evidence," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(3), pages 63-80, December.
  50. Mookerjee, Rajen & Peebles, Gavin, 1998. "Endogenous money in China: Evidence and insights on recent policies," Journal of Asian Economics, Elsevier, vol. 9(1), pages 139-158.
  51. Di Iorio, Francesca & Fachin, Stefano, 2007. "Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 1, pages 1-23.
  52. Gupta, Rakesh & Guidi, Francesco, 2012. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 10-22.
  53. Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012. "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 99-132.
  54. Christian Dreger & Christian Schumacher, 2000. "Zur empirischen Evidenz der Cobb-Douglas-Technologie in gesamtdeutschen Zeitreihen," IWH Discussion Papers 113, Halle Institute for Economic Research.
  55. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
  56. Michael D. Bordo & Lars Jonung & Pierre Siklos, 1993. "The Common Development of Institutional Change as Measured by Income Velocity: A Century of Evidence from Industrialized Countries," NBER Working Papers 4379, National Bureau of Economic Research, Inc.
  57. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  58. Chan, Tze-Haw & Lean, Hooi Hooi & Hooy, Chee Wooi, 2013. "A Macro Assessment of China Effects on Malaysian Exports and Trade Balances," MPRA Paper 48801, University Library of Munich, Germany, revised 01 Aug 2013.
  59. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, 07.
  60. Loesse Jacques Esso, 2010. "Re-Examining The Finance-Growth Nexus: Structural Break, Threshold Cointegration And Causality Evidence From The Ecowas," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 35(3), pages 57-79, September.
  61. Esso, Loesse Jacques, 2010. "Threshold cointegration and causality relationship between energy use and growth in seven African countries," Energy Economics, Elsevier, vol. 32(6), pages 1383-1391, November.
  62. Alfredo Pereira & Maria Pinho, 2008. "Public investment and budgetary consolidation in Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 7(3), pages 183-203, December.
  63. Steven Cook, 2004. "Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 879-884.
  64. Nakashima, Kiyotaka & Saito, Makoto, 2012. "On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan," MPRA Paper 70765, University Library of Munich, Germany.
  65. Paul Cashin & Catherine Pattillo, 2006. "African terms of trade and the commodity terms of trade: close cousins or distant relatives?," Applied Economics, Taylor & Francis Journals, vol. 38(8), pages 845-859.
  66. Le, Thai-Ha & Chang, Youngho, 2013. "Oil price shocks and trade imbalances," Energy Economics, Elsevier, vol. 36(C), pages 78-96.
  67. Le, Thai-Ha, 2015. "Do soaring global oil prices heat up the housing market? Evidence from Malaysia," Economics Discussion Papers 2015-8, Kiel Institute for the World Economy (IfW).
  68. Escribano, Álvaro & Aparicio, Felipe M., 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
  69. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
  70. Alfredo M. Pereira & Maria de Fátima Pinho, 2006. "Public Investment, Economic Performance and Budgetary Consolidation: VAR Evidence for the 12 Euro Countries," Working Papers 40, Department of Economics, College of William and Mary.
  71. Beyer, Andreas & Haug, Alfred A. & Dewald, William G., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
  72. Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane, 2005. "Testing for the cointegration rank when some cointegrating directions are changing," Journal of Econometrics, Elsevier, vol. 124(2), pages 269-310, February.
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