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Testing For and Dating Common Breaks in Multivariate Time Series
14 references·16 citing·33 second hop
Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common Breaks in M…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Optimal changepoint tests for normal linear regression (1996)Optimal changepoint tests for…LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Searching For a Break in GNP (1988)Searching For a Break in GNPCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Unit roots, structural breaks and trends (1986)Unit roots, structural breaks…Testing and estimating change-points in time series (1985)Testing and estimating change…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Inference About the Change-Point in a Sequence of Random Variables (1970)Inference About the Change-Po…How strong is the linkage between tourism and economic growth in Europe? 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(2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1970Inference About the Change-Point in a Sequence of Random Variables831 cited
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  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
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  • 1985Testing and estimating change-points in time series338 cited
  • 1996Optimal changepoint tests for normal linear regression304 cited

Cited by

  • 2002Dating the integration of world equity markets

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561 cited
  • 2002Are Financial Assets Priced Locally or Globally?548 cited
  • 2006Instability of return prediction models476 cited
  • 2000The Equity Premium and Structural Breaks380 cited
  • 2002The dynamics of emerging market equity flows341 cited
  • 2003Chapter 16 Are financial assets priced locally or globally?321 cited
  • 2005The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model295 cited
  • 2010The Asymmetric Business Cycle270 cited
  • 2009Common breaks in means and variances for panel data265 cited
  • 2003Equity Market Liberalization in Emerging Markets261 cited
  • 2004Are Daily Cross-Border Equity Flows Pushed or Pulled?241 cited
  • 2014How strong is the linkage between tourism and economic growth in Europe?240 cited
  • 2004Structural breaks with deterministic and stochastic trends225 cited
  • 2011Predictability of stock returns and asset allocation under structural breaks219 cited
  • 1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series215 cited
  • 2005Breaks in the Variability and Comovement of G-7 Economic Growth193 cited