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Instability in cointegration regressions: a brief review with an application to money demand in Portugal
16 references·2 citing·34 second hop
Instability in cointegration regressions: a brief review with an application to money demand in Portugal (2003)Instability in cointegration regressions:…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered (1997)Testing for Unit Roots with B…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts (1996)PRACTITIONERS CORNER: Tests f…A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994)A Residual-Based Test of the …Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Long-Run Economic Relationships (1991)Long-Run Economic Relationshi…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Statistical Inference in Instrumental Variables (1989)Statistical Inference in Inst…The effect of regime shifts on the long-run relationships for Swedish money demand (2005)The effect of regime shifts o…Agregados Monetarios, Inflación y Actividad Económica en México (2002)Agregados Monetarios, Inflaci…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Time Series Regression with a Unit Root (1987)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Trends and random walks in macroeconmic time series (1982)Long memory processes and fractional integration in econometrics (1996)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Sample Splitting and Threshold Estimation (2000)Dealing with Structural Breaks (2005)Exploring the international linkages of the euro area: a global VAR analysis (2007)Oil price shocks and stock market activity (1999)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1991Long-Run Economic Relationships760 cited
  • 1996PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts600 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration539 cited

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  • 1997Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered235 cited
  • 1989Statistical Inference in Instrumental Variables61 cited
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    • 2002Agregados Monetarios, Inflación y Actividad Económica en México12 cited
    • 2005The effect of regime shifts on the long-run relationships for Swedish money demand11 cited