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Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series*
16 references·4 citing·32 second hop
Detection of Structural Change in the Long‐run Persistence in a Univariate Time Series* (2005)Detection of Structural Change in the Lon…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Threshold Autoregression with a Unit Root (2001)Threshold Autoregression with…Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…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…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Trend, Unit Root and Structural Change in Macroeconomic Time Series (1994)Trend, Unit Root and Structur…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence (1992)Recursive and Sequential Test…LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS* (1992)LM TESTS FOR A UNIT ROOT IN T…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…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 GNPPoint optimal testing with roots that are functionally local to unity (2020)Point optimal testing with ro…Unit Roots and Structural Breaks (2017)Unit Roots and Structural Bre…Changes in persistence, spurious regressions and the Fisher hypothesis (2017)Changes in persistence, spuri…Examining the theory of capital structure: signal factor hypothesis (2014)Examining the theory of capit…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)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)Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Long memory processes and fractional integration in econometrics (1996)A PANIC Attack on Unit Roots and Cointegration (2004)The local power of some unit root tests for panel data (2004)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Time Series Regression with a Unit Root (1987)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Oil price shocks and stock market activity (1999)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 2001Threshold Autoregression with a Unit Root707 cited
  • 1988Searching For a Break in GNP587 cited
  • 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence405 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited

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  • 1996Optimal changepoint tests for normal linear regression304 cited
  • 1994Trend, Unit Root and Structural Change in Macroeconomic Time Series261 cited
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    • 2014Examining the theory of capital structure: signal factor hypothesis17 cited
    • 2017Unit Roots and Structural Breaks15 cited
    • 2020Point optimal testing with roots that are functionally local to unity11 cited
    • 2017Changes in persistence, spurious regressions and the Fisher hypothesis10 cited