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Volumn 14, Issue 2, 1998, Pages 222-259

Tests for structural change in cointegrated systems

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EID: 0032349334     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466698142044     Document Type: Article
Times cited : (69)

References (14)
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    • Generic uniform convergence
    • Andrews, D.W.K. (1992) Generic uniform convergence. Econometric Theory 8, 241-257.
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  • 4
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    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.
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    • Andrews, D.W.K.1
  • 5
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    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews, D.W.K. & W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.K.1    Ploberger, W.2
  • 7
    • 84881847928 scopus 로고
    • Recursive and sequential tests of the unit root and trend break hypothesis theory and international evidence
    • Banerjee, A., R. Lumsdaine, & J. Stock (1992) Recursive and sequential tests of the unit root and trend break hypothesis theory and international evidence. Journal of Business and Economic Statistics 10, 271-287.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 271-287
    • Banerjee, A.1    Lumsdaine, R.2    Stock, J.3
  • 9
    • 0017656033 scopus 로고
    • A canonical analysis of multiple time series
    • Box, G.E.P. & G.C. Tiao (1977) A canonical analysis of multiple time series. Biometrika 64, 355-365.
    • (1977) Biometrika , vol.64 , pp. 355-365
    • Box, G.E.P.1    Tiao, G.C.2
  • 10
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    • Hypothesis testing when a nuisance parameter is present only under the alternative
    • Davies, R.B. (1977) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64, 247-254.
    • (1977) Biometrika , vol.64 , pp. 247-254
    • Davies, R.B.1
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    • Hypothesis testing when a nuisance parameter is present only under the alternative
    • Davies, R.B. (1987) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74, 33-43.
    • (1987) Biometrika , vol.74 , pp. 33-43
    • Davies, R.B.1
  • 12
    • 0000013567 scopus 로고
    • Cointegration and error correction representation, estimation, and testing
    • Engle, R.F. & C.W.J. Granger (1987) Cointegration and error correction representation, estimation, and testing. Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 14
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    • A simple estimator of cointegrating vectors in higher order integrated systems
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    • Stock, J.1    Watson, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.