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Testing for common breaks in a multiple equations system
16 references·0 citing·34 second hop
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References

  • 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
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 2005Dealing with Structural Breaks701 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
  • 2009Common breaks in means and variances for panel data265 cited
  • 2010Testing for structural breaks in dynamic factor models

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208 cited
  • 2006Testing for unit roots in time series models with non-stationary volatility168 cited
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