Tests for structural change in cointegrated systems

Econometric Theory

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

  Seo, Byeongseon ^a,b  

^a UNIVERSITY OF ROCHESTER   (United States)

^b Soongsil University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032349334     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466698142044     Document Type: Article

References (14)

1. Ahn, S.K. & G.C. Reinsel (1988) Nested reduced-rank autoregressive models for multiple time series. Journal of the American Statistical Association 83, 849-856.
2. Andrews, D.W.K. (1988) Laws of large numbers for dependent non-identically distributed random variables. Econometric Theory 4, 458-467.
3. Andrews, D.W.K. (1992) Generic uniform convergence. Econometric Theory 8, 241-257.
4. Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.
5. Andrews, D.W.K. & W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.
6. Baba, Y., D. Hendry, & R. Starr (1992) The demand for M1 in the U.S.A., 1960-1988. Review of Economic Studies 59, 25-61.
7. 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.
8. Billingsley, P. (1968) Convergence of Probability Measures. New York: Wiley.
9. Box, G.E.P. & G.C. Tiao (1977) A canonical analysis of multiple time series. Biometrika 64, 355-365.
10. Davies, R.B. (1977) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64, 247-254.
11. Davies, R.B. (1987) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74, 33-43.
12. Engle, R.F. & C.W.J. Granger (1987) Cointegration and error correction representation, estimation, and testing. Econometrica 55, 251-276.
13. Stock, J. & M. Watson (1988) Testing for common trends. Journal of the American Statistical Association 83, 1097-1107.
14. Stock, J. & M. Watson (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-820.