Testing for structural change in cointegrated regression models: Some comparisons and generalizations

Econometric Reviews

Volumn 15, Issue 4, 1996, Pages 401-429

  Hao, Kang ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009932277     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939608800364     Document Type: Article

References (13)

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3. Andrews D. W. K., Lee I., Ploberger W., Optimal changepoint tests for normal linear regression 1992 Cowles foundation discussion paper 1016R
4. Billingsley, P., 1968. Convergence of Probability Measures, New York: Wiley.
5. Gregory A. W., Nason J. M., Testing for structural breaks in cointegrated relationships Queen's University 1992
6. Hansen B. E., Lagrange multiplier tests for parameter instability in non-linear models University of Rochester 1990
7. Hansen, B. E., 1992. Tests for parameter instability in regressions with 1(1) processes. Journal of Business and Economic Statistics, 10: 321–355.
8. Harris D., Inder B., A test of the null hypothesis of cointegration, forthcoming in: Nonstationary time series analysis and cointegration Hargreaves C., University of Rochester 1994 in the series Advanced Texts in Econometrics, C.W.J. Granger and G.E. Mizon (Eds)
9. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., and Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54: 159–178.
10. Nyblom, J., 1989. Testing for constancy of parameters over time. Journal of the American Statistical Association, 84: 223–230.
11. Phillips, P.C.B., and Durlauf, S. N., 1986. Multiple time series regression with integrated process. Review of Economic Studies, 53: 473–496.
12. Phillips, P.C.B., and Hansen, B., 1990. Statistical inference in instrumental variables regression with 1(1) process. eview of Economic Studies, 57: 99–125.
13. Phillips, P.C.B., 1993. Parameter constancy in cointegrating regressions. Empirical Economics, 18: 675–706.