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Structural Breaks in Error Correction Models

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  • Heinesen, Eskil

Abstract

This paper considers several tests of orthogonality conditions in linear models where stochastic errors may be heteroskedastic or autocorrelated. It is shown that these tests can be performed with Wald statistics obtained from simple auxiliary regressions. Copyright 1997 by Blackwell Publishing Ltd

Suggested Citation

  • Heinesen, Eskil, 1997. "Structural Breaks in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 187-192, February.
    • Handle: RePEc:bla:obuest:v:59:y:1997:i:1:p:187-92
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    Cited by:

    1. Heinesen, Eskil, 1999. "The tax wedge and household demand for services," Economic Modelling, Elsevier, vol. 16(2), pages 235-256, April.

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