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Testing for common breaks in a multiple equations system · Study

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ArticleTesting for common breaks in a multiple equations system

Tatsushi Oka2018

OA

Articlegreen2018

Testing for common breaks in a multiple equations system

Tatsushi Oka · Pierre Perron Z

12 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

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References

1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1991Asymptotically Efficient Estimation of Cointegration Regressions 1990Testing for a Unit Root in a Time Series With a Changing Mean 1997Limit theorems in change-point analysis 1992Tests for Parameter Instability in Regressions with 1(1) Processes 1997Estimation of a Change Point in Multiple Regression Models

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Details

Year2018

Typearticle

Published2018-02-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations12

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2018.01.003

openalex_workW2963150802

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