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New Improved Tests for Cointegration with Structural Breaks

Citations

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Cited by:

  1. Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Research Africa Network Working Papers 20/010, Research Africa Network (RAN).
  2. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  3. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
  4. Razak, Lutfi Abdul & Masih, Mansur, 2017. "Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)," MPRA Paper 79407, University Library of Munich, Germany.
  5. Pata, Ugur Korkut & Kartal, Mustafa Tevfik & Erdogan, Sinan & Sarkodie, Samuel Asumadu, 2023. "The role of renewable and nuclear energy R&D expenditures and income on environmental quality in Germany: Scrutinizing the EKC and LCC hypotheses with smooth structural changes," Applied Energy, Elsevier, vol. 342(C).
  6. Konrad Adler & Dr. Christian Grisse, 2014. "Real exchange rates and fundamentals: robustness across alternative model specifications," Working Papers 2014-07, Swiss National Bank.
  7. Joakim Westerlund & David L. Edgerton, 2008. "A Simple Test for Cointegration in Dependent Panels with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 665-704, October.
  8. Schweikert Karsten, 2020. "Testing for cointegration with threshold adjustment in the presence of structural breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-28, February.
  9. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
  10. Liu, Jili & Kim Loan, Vo Thi & Mousa, Saeed & Ali, Anis & Muda, Iskandar & Cong, Phan The, 2023. "Sustainability and natural resources management in developed countries: The role of financial inclusion and human development," Resources Policy, Elsevier, vol. 80(C).
  11. Garcia-Hiernaux, Alfredo & Guerrero, David E., 2021. "Price convergence: Representation and testing," Economic Modelling, Elsevier, vol. 104(C).
  12. Korhan K. Gokmenoglu & Nigar Taspinar & Mohammad Mafizur Rahman, 2021. "Military expenditure, financial development and environmental degradation in Turkey: A comparison of CO2 emissions and ecological footprint," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 986-997, January.
  13. Wang, Weiguo & Xue, Jing & Du, Chonghua, 2016. "The Balassa–Samuelson hypothesis in the developed and developing countries revisited," Economics Letters, Elsevier, vol. 146(C), pages 33-38.
  14. Hamit-Haggar, Mahamat, 2016. "Clean energy-growth nexus in sub-Saharan Africa: Evidence from cross-sectionally dependent heterogeneous panel with structural breaks," Renewable and Sustainable Energy Reviews, Elsevier, vol. 57(C), pages 1237-1244.
  15. Westerlund, Joakim, 2013. "Simple unit root testing in generally trending data with an application to precious metal prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 12-27.
  16. Khan, Anwar & Chenggang, Yang & Hussain, Jamal & Kui, Zhou, 2021. "Impact of technological innovation, financial development and foreign direct investment on renewable energy, non-renewable energy and the environment in belt & Road Initiative countries," Renewable Energy, Elsevier, vol. 171(C), pages 479-491.
  17. Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
  18. Skrobotov, Anton, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
  19. Yugang He & Ziqian Zhang, 2022. "Non-Renewable and Renewable Energies, and COVID-19 Pandemic: Do They Matter for China’s Environmental Sustainability?," Energies, MDPI, vol. 15(19), pages 1-14, September.
  20. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
  21. repec:agr:journl:v:4(605):y:2015:i:4(605):p:133-144 is not listed on IDEAS
  22. Melo, Patricia C. & Sobreira, Nuno & Goulart, Pedro, 2019. "Estimating the long-run metro demand elasticities for Lisbon: A time-varying approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 126(C), pages 360-376.
  23. Bilgili, Faik & Koçak, Emrah & Bulut, Ümit & Sualp, M. Nedim, 2016. "How did the US economy react to shale gas production revolution? An advanced time series approach," Energy, Elsevier, vol. 116(P1), pages 963-977.
  24. repec:agr:journl:v:4(605):y:2015:i:4(605):p:135-146 is not listed on IDEAS
  25. Katircioğlu, Salih Turan, 2014. "Testing the tourism-induced EKC hypothesis: The case of Singapore," Economic Modelling, Elsevier, vol. 41(C), pages 383-391.
  26. Chenini Moussa & Ayad Hicham & Attouchi Manel & Dahmani Mohamed Driouche, 2023. "Testing the Validity of Okun’s Law in Algeria: Is there a difference between Maki’s Cointegration and Quantile’s Regression Results?," Folia Oeconomica Stetinensia, Sciendo, vol. 23(1), pages 42-63, June.
  27. Umit BULUT, 2015. "The Interest Rate Corridor as a Macroprudential Tool to Mitigate Rapid Growth in Credits: Evidence from Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(605), W), pages 133-144, Winter.
  28. Westerlund, Joakim, 2009. "Testing for Unit Roots in Panel Time Series Models with Multiple Breaks," Working Papers in Economics 384, University of Gothenburg, Department of Economics.
  29. Cortes, Maria, 2007. "Examining Patterns of Bilateral Trade between Australia and Colombia by Using Cointegration Analysis and Error-Correction Models," Economics Working Papers wp07-20, School of Economics, University of Wollongong, NSW, Australia.
  30. Schweikert, Karsten, 2018. "Testing for cointegration with threshold adjustment in the presence of structural breaks," Hohenheim Discussion Papers in Business, Economics and Social Sciences 07-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  31. Yasemin Barlas Ozer & Kam-Ki Tang, "undated". "An Empirical Analysis of Financial and Housing Wealth Effects on Consumption in Turkey," MRG Discussion Paper Series 2809, School of Economics, University of Queensland, Australia.
  32. Aamir Aijaz Syed, 2024. "The moderating role of governance, banking regulation, and supervision on shadow economy, financial inclusion, and financial stability nexus: a case of G5 economies," Economic Change and Restructuring, Springer, vol. 57(6), pages 1-31, December.
  33. Karsten Schweikert, 2020. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Papers 2001.07949, arXiv.org, revised Apr 2021.
  34. 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.
  35. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.
  36. Banerjee, Piyali & Arčabić, Vladimir & Lee, Hyejin, 2017. "Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market," Economic Modelling, Elsevier, vol. 67(C), pages 114-124.
  37. Kartal Demirgunes, 2016. "The Effect of Liquidity on Financial Performance: Evidence from Turkish Retail Industry," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 63-79, April.
  38. Zhang, Zhihe & Hou, Yufei & Zhang, Zesen & Li, Mulin, 2023. "Natural resources, carbon neutrality, and fiscal federalism: Implications for G7 countries amid rising Covid-19 concerns," Resources Policy, Elsevier, vol. 87(PA).
  39. Ridwan Lanre Ibrahim & Abdulrahman Alomair & Abdulaziz S. Al Naim, 2024. "How Financial Development Is Driving the Growth and Environmental Dimensions of Sustainable Development in Africa: Heterogeneous Analyses," Sustainability, MDPI, vol. 16(21), pages 1-27, October.
  40. Hicham Ayad, 2020. "Money Supply, Inflation and Economic Growth: Co-Integration and Causality Analysis," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 65(2), pages 29-45, August.
  41. Sedef Sen & Murat Donduran, 2017. "Does stock market performance affect the government satisfaction rating in the UK?," Empirical Economics, Springer, vol. 53(3), pages 999-1009, November.
  42. Liu, Fengyu & Feng, Jue & Zhai, Ge & Razzaq, Asif, 2022. "Influence of fiscal decentralization and renewable energy investment on ecological sustainability in EU: What is the moderating role of institutional governance?," Renewable Energy, Elsevier, vol. 200(C), pages 1265-1274.
  43. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
  44. Nazlioglu, Saban & Lee, Junsoo, 2020. "Response surface estimates of the LM unit root tests," Economics Letters, Elsevier, vol. 192(C).
  45. Di Chen & Haiqing Hu & Chun‐Ping Chang, 2023. "Green finance, environment regulation, and industrial green transformation for corporate social responsibility," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2166-2181, September.
  46. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
  47. Hasanov, Fakhri J. & Shannak, Sa'd, 2020. "Electricity incentives for agriculture in Saudi Arabia. Is that relevant to remove them?," Energy Policy, Elsevier, vol. 144(C).
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