Searching for cointegration in a dynamic system
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Matteo Mogliani, 2010.
"Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study,"
Working Papers
halshs-00564897, HAL.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
- Davidson, James & Monticini, Andrea, 2010.
"Tests for cointegration with structural breaks based on subsamples,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2498-2511, November.
- James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, University of Exeter, Department of Economics.
- Lukáš ČECHURA & Tereza TAUSSIGOVÁ, 2013. "Avian influenza and structural change in the Czech poultry industry," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(1), pages 38-47.
- Ahmed, Walid M.A. & Sleem, Mohamed A.E., 2023. "Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach," Energy Economics, Elsevier, vol. 124(C).
- Kejriwal, Mohitosh & Perron, Pierre, 2010.
"Testing for Multiple Structural Changes in Cointegrated Regression Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 503-522.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
- Skrobotov, Anton, 2021. "Structural breaks in cointegration models: Multivariate case," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 64, pages 83-106.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.
- Karsten Schweikert, 2020. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Papers 2001.07949, arXiv.org, revised Apr 2021.
- Karsten Schweikert, 2022. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 83-104, January.
- Pierre Perron & Yohei Yamamoto, 2021.
"Testing for Changes in Forecasting Performance,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 148-165, January.
- Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-03, Boston University - Department of Economics, revised Dec 2018.
- Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-13, Boston University - Department of Economics, revised Jun 2019.
- PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平, 2018. "Testing for Changes in Forecasting Performance," Discussion Papers 2018-03, Graduate School of Economics, Hitotsubashi University.
- Clark, Steven P. & Coggin, T. Daniel, 2011. "Was there a U.S. house price bubble? An econometric analysis using national and regional panel data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 189-200, May.
- Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "Time-Varying Comovement of Foreign Exchange Markets," Papers 1610.04334, arXiv.org.
- Razvan Pascalau & Junsoo Lee & Saban Nazlioglu & Yan (Olivia) Lu, 2022. "Johansen‐type cointegration tests with a Fourier function," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 828-852, September.
- Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
- Peri, Massimo & Baldi, Lucia, 2013. "The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU," Resource and Energy Economics, Elsevier, vol. 35(1), pages 18-37.
- Wang, Yiming, 2011. "The stability of long-run money demand in the United States: A new approach," Economics Letters, Elsevier, vol. 111(1), pages 60-63, April.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:10:y:2007:i:3:p:580-604. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.