TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS

Byeongseon Seo

146 citations0/0 files storedEconometric Theory

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

Abstract

This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321–335). In contrast, the tests on the adjustment vector have the same asymptotic distributions that have been found by Andrews and Ploberger (1994, Econometrica 62, 1383–1414) for models with stationary variables. Asymptotic critical values are provided.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 146 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1996Residual-based tests for cointegration in models with regime shifts 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1988Testing for Common Trends 1991Optimal Inference in Cointegrated Systems

Cited by

2016Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market 2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 2008The limit distribution of the estimates in cointegrated regression models with multiple structural changes 2010Consumption, (dis)aggregate wealth, and asset returns 2007Testing for the Null Hypothesis of Cointegration with a Structural Break

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.