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Diagnostic test for structural change in cointegrated regression models
9 references·7 citing·36 second hop
Diagnostic test for structural change in cointegrated regression models (1996)Diagnostic test for structural change in …Parameter Constancy in Cointegrating Regressions (1994)Parameter Constancy in Cointe…Parameter constancy in cointegrating regressions (1993)Parameter constancy in cointe…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…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Asymptotically Efficient Estimation of Cointegration Regressions (1991)Asymptotically Efficient Esti…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Testing cointegration in quantile regressions with an application to the term structure of interest rates (2015)Testing cointegration in quan…Services sector and economic growth in India (2009)Services sector and economic …Does domestic saving cause economic growth? A time-series evidence from India (2009)Does domestic saving cause ec…Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators (2008)Testing the Saving-Investment…Interest rate linkages: a Kalman filter approach to detecting structural change (2004)Interest rate linkages: a Kal…Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries (2004)Bilateral Trade and Business …The Long-Run Stability of European Money Demand (2000)The Long-Run Stability of Eur…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS (1999)Cointegration in Panel Data with Breaks and Cross-Section Dependence (2006)Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)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)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Contribution to the Theory of Economic Growth (1956)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On the mechanics of economic development (1988)Indian economic-policy reforms, bank mergers, and lawful proposals: The ex-ante and ex-post ‘lookup’ (2012)Saving-Investment Gap and Economic Growth in Developing Countries: Simulated Evidence from Selected Countries in Africa (2014)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Sample Splitting and Threshold Estimation (2000)Dealing with Structural Breaks (2005)Exploring the international linkages of the euro area: a global VAR analysis (2007)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)On the estimation and inference of a cointegrated regression in panel data (2004)Testing for Error Correction in Panel Data* (2007)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Structural analysis of vector error correction models with exogenous I(1) variables (2000)The stability of German money demand: Tests of the cointegration relation (1995)Stability tests in error correction models (1998)Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests (2003)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)
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References

  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
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Cited by

  • 2009Does domestic saving cause economic growth? A time-series evidence from India88 cited
  • 2004Interest rate linkages: a Kalman filter approach to detecting structural change36 cited
  • 2004Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries24 cited
  • 2009Services sector and economic growth in India23 cited
  • 2008Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators23 cited

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2015
Testing cointegration in quantile regressions with an application to the term structure of interest rates
16 cited
  • 2000The Long-Run Stability of European Money Demand15 cited