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TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS
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TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS (1998)TESTS FOR STRUCTURAL CHANGE IN COINTEGRAT…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…The stability of long-run money demand in five industrial countries (1995)The stability of long-run mon…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Recursive Estimation in Cointegrated VAR-Models (1992)Recursive Estimation in Coint…Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends (1992)Efficient estimation and test…Convergence to Stochastic Integrals for Dependent Heterogeneous Processes (1992)Convergence to Stochastic Int…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Testing for Common Trends (1988)Testing for Common TrendsMoney demand in the United States: A quantitative review (1988)Money demand in the United St…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market (2016)Fourier ADL cointegration tes…Securities Transaction Tax and Market Quality – the Case of France (2015)Securities Transaction Tax an…Consumption, (dis)aggregate wealth, and asset returns (2010)Consumption, (dis)aggregate w…Cointegration: Overview and Development (2009)Cointegration: Overview and D…The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008)The limit distribution of the…Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle (2008)Cointegration with Structural…Testing for the Null Hypothesis of Cointegration with a Structural Break (2007)Testing for the Null Hypothes…REITs’ dynamics under structural change with unknown break points (2007)REITs’ dynamics under structu…Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (2006)Asymptotic distribution of th…Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004)Testing for the Cointegrating…Interest rate linkages: a Kalman filter approach to detecting structural change (2004)Interest rate linkages: a Kal…The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries (2003)The impact of the Asian finan…Stock prices and the dividend discount model: did their relation break down in the 1990s? 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(2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)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)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 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
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1988Testing for Common Trends1,894 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1988Money demand in the United States: A quantitative review350 cited
  • 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
  • 1992Recursive Estimation in Cointegrated VAR-Models267 cited
  • 1992Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends207 cited
  • 1995The stability of long-run money demand in five industrial countries155 cited

Cited by

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2016
Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
310 cited
  • 2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time119 cited
  • 2008The limit distribution of the estimates in cointegrated regression models with multiple structural changes115 cited
  • 2010Consumption, (dis)aggregate wealth, and asset returns113 cited
  • 2007Testing for the Null Hypothesis of Cointegration with a Structural Break109 cited
  • 2003Stock prices and the dividend discount model: did their relation break down in the 1990s?104 cited
  • 2008Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle74 cited
  • 2003The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries61 cited
  • 2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift52 cited
  • 2006Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity50 cited
  • 2003Nonlinear mean reversion in the term structure of interest rates47 cited
  • 2015Securities Transaction Tax and Market Quality – the Case of France43 cited
  • 2000Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises43 cited
  • 2009Cointegration: Overview and Development42 cited
  • 2007REITs’ dynamics under structural change with unknown break points39 cited
  • 2004Interest rate linkages: a Kalman filter approach to detecting structural change36 cited