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Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Estimating Cointegration Models with Structural Breaks
    by David Stern in Stochastic Trend on 2011-11-13 17:35:00

Citations

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Cited by:

  1. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
  2. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021. "Modelling non-stationary ‘Big Data’," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
  3. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
  4. Bahal, Girish & Raissi, Mehdi & Tulin, Volodymyr, 2018. "Crowding-out or crowding-in? Public and private investment in India," World Development, Elsevier, vol. 109(C), pages 323-333.
  5. Baek, Jungho & Koo, Won W., 2006. "Price Dynamics in the North American Wheat Market," Agricultural and Resource Economics Review, Cambridge University Press, vol. 35(2), pages 265-275, October.
  6. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  7. Pandelis Mitsis, 2015. "Effects of Minimum Wages on Total Employment: Evidence from Cyprus," Journal of Labor Research, Springer, vol. 36(3), pages 318-345, September.
  8. Ettore Gallo & Maria Cristina Barbieri Góes, 2023. "Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(1), pages 225-255, April.
  9. Thomas Barnay & Olivier Damette, 2012. "What drives Health Care Expenditure in France since 1950?," Working Papers hal-00717435, HAL.
  10. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M. & Yildirim, Gökhan, 2015. "Historical impact of technological change on the US mass media advertising expenditure," Technological Forecasting and Social Change, Elsevier, vol. 100(C), pages 306-316.
  12. Andrade, Isabel & O'Brien, Raymond, 2007. "A measure of core inflation in the UK," Discussion Paper Series In Economics And Econometrics 0708, Economics Division, School of Social Sciences, University of Southampton.
  13. Håvard Hungnes, 2010. "Identifying Structural Breaks in Cointegrated Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 551-565, August.
  14. Ricardo Denadai & Vladimir K. Teles, 2016. "A Test for Hysteresis in International Trade," Review of Development Economics, Wiley Blackwell, vol. 20(2), pages 583-598, May.
  15. Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  16. Mohammad I. Elian & Khalid M. Kisswani, 2018. "Oil price changes and stock market returns: cointegration evidence from emerging market," Economic Change and Restructuring, Springer, vol. 51(4), pages 317-337, November.
  17. Niels Kemper & Dierk Herzer & Luca Zamparelli, 2011. "Balanced growth and structural breaks: evidence for Germany," Empirical Economics, Springer, vol. 40(2), pages 409-424, April.
  18. Jungho Baek & Won W. Koo, 2010. "Analyzing Factors Affecting U.S. Food Price Inflation," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 58(3), pages 303-320, September.
  19. Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
  20. Kuikeu, Oscar, 2011. "Comment la dernière crise financière a relancé le débat relatif à l'arrimage du fcfa à l'euro [How the recent financial crisis have revived the debate on the parity between fcfa and euro]," MPRA Paper 32077, University Library of Munich, Germany.
  21. Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
  22. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
  23. Zhang, Yijia & Cheng, Lu, 2023. "The role of transport infrastructure in economic growth: Empirical evidence in the UK," Transport Policy, Elsevier, vol. 133(C), pages 223-233.
  24. Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October.
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  26. Chen, Yu-chin & Turnovsky, Stephen J. & Zivot, Eric, 2014. "Forecasting inflation using commodity price aggregates," Journal of Econometrics, Elsevier, vol. 183(1), pages 117-134.
  27. Elias Oikarinen, 2009. "Dynamic linkages between housing and lot prices: Empirical evidence from Helsinki," Discussion Papers 53, Aboa Centre for Economics.
  28. Valdes, R. & Von Cramon, S. & Engler, A., 2018. "The role of fuel prices on the wholesale price relationships between horticultural markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277064, International Association of Agricultural Economists.
  29. Islam Hassouneh & Teresa Serra & José M. Gil, 2010. "Price transmission in the Spanish bovine sector: the BSE effect," Agricultural Economics, International Association of Agricultural Economists, vol. 41(1), pages 33-42, January.
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  31. Takashi FUKUDA, 2020. "Finance-Growth Nexus and Globalization in Brazil, India, Philippines, Thailand, and Turkey: Evidence from VECM Cointegration Analysis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 4(1), pages 55-77.
  32. Aliyu Rafindadi Sanusi, 2011. "Foreign Aid Inflows and the Real Exchange Rate: Are There Dutch Disease Effects in Ghana?," The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 28-59, December.
  33. Suresh K G & Aviral Kumar Tiwari, 2012. "Long Run and Short Run Linkages between Stock Indices in Bombay Stock Exchange: A Structural Cointegration Approach," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 177-181, January.
  34. Pauwels, Koen & Neslin, Scott A., 2015. "Building With Bricks and Mortar: The Revenue Impact of Opening Physical Stores in a Multichannel Environment," Journal of Retailing, Elsevier, vol. 91(2), pages 182-197.
  35. Kuikeu, Oscar, 2011. "Arguments contre la zone franc [Against the cfa franc zone]," MPRA Paper 33710, University Library of Munich, Germany.
  36. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
  37. Monia Ben-Kaabia & José M. Gil & Mehrez Ameur, 2005. "Vertical integration and non-linear price adjustments: The Spanish poultry sector," Agribusiness, John Wiley & Sons, Ltd., vol. 21(2), pages 253-271.
  38. Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
  39. Rita Duarte & Carlos Marques, 2013. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Empirical Economics, Springer, vol. 44(2), pages 613-638, April.
  40. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 3627, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  41. Mário Jorge Mendonça & Cláudio H. dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Discussion Papers 1337, Instituto de Pesquisa Econômica Aplicada - IPEA.
  42. Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert, 2016. "Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point," Journal of Econometrics, Elsevier, vol. 192(2), pages 451-467.
  43. Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
  44. repec:ebl:ecbull:v:6:y:2008:i:29:p:1-13 is not listed on IDEAS
  45. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  46. Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
  47. Rao, B. Bhaskara & Paradiso, Antonio, 2011. "Time series estimates of the US new Keynesian Phillips curve with structural breaks," MPRA Paper 28413, University Library of Munich, Germany.
  48. Giliola Frey & Matteo Manera, 2007. "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, April.
  49. Holmes Mark J. & Panagiotidis Theodore, 2009. "Cointegration and Asymmetric Adjustment: Some New Evidence Concerning the Behavior of the U.S. Current Account," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, June.
  50. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(4), pages 753-777, August.
  51. Andries, Natalia & Billon, Steve, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Economic Systems, Elsevier, vol. 40(1), pages 170-194.
  52. Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," VfS Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
  53. Philipp Matros & Enzo Weber, 2014. "Non-stationary Interest Rate Differentials and the Role of Monetary Policy," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 497-512, September.
  54. Minella, André, 2003. "Monetary Policy and Inflation in Brazil (1975-2000): A VAR Estimation," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 57(3), July.
  55. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  56. Koen Pauwels, 2004. "How Dynamic Consumer Response, Competitor Response, Company Support, and Company Inertia Shape Long-Term Marketing Effectiveness," Marketing Science, INFORMS, vol. 23(4), pages 596-610, June.
  57. Massmann, Michael, 2007. "Cobra: A package for co-breaking analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 663-679, October.
  58. Weber, Enzo, 2009. "Common and uncommon sources of growth in Asia Pacific," Journal of the Japanese and International Economies, Elsevier, vol. 23(1), pages 20-36, March.
  59. Fantazzini, Dean & Toktamysova, Zhamal, 2015. "Forecasting German car sales using Google data and multivariate models," International Journal of Production Economics, Elsevier, vol. 170(PA), pages 97-135.
  60. Leiva, Benjamin & Liu, Zhongyuan, 2019. "Energy and economic growth in the USA two decades later: Replication and reanalysis," Energy Economics, Elsevier, vol. 82(C), pages 89-99.
  61. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute.
  62. Vidal-Sanz, Jose M. & Yildirim, Gökhan, 2012. "Expenditure trends in US advertising : long-term effects and structural changes with new media introductions," DEE - Working Papers. Business Economics. WB wb121506, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  63. Pieroni, Luca & d'Agostino, Giorgio & Lorusso, Marco, 2008. "Can we declare military Keynesianism dead?," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 675-691.
  64. Stern, David I. & Enflo, Kerstin, 2013. "Causality between energy and output in the long-run," Energy Economics, Elsevier, vol. 39(C), pages 135-146.
  65. Martins Iyoboyi & Ummu Ahmad Jalingo & Ahmad Tsauni, 2016. "Impact of Institutions on Macroeconomic Performance in Nigeria: 1980-2013," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(3), pages 193-221.
  66. Caporin, Massimiliano & Fontini, Fulvio, 2017. "The long-run oil–natural gas price relationship and the shale gas revolution," Energy Economics, Elsevier, vol. 64(C), pages 511-519.
  67. Alessandro Girardi & Paolo Paesani, 2008. "The Transfer Problem in the Euro Area," Open Economies Review, Springer, vol. 19(4), pages 517-537, September.
  68. Reimer, Kerstin & Rutz, Oliver J. & Pauwels, Koen, 2014. "How Online Consumer Segments Differ in Long-term Marketing Effectiveness," Journal of Interactive Marketing, Elsevier, vol. 28(4), pages 271-284.
  69. Takamitsu Kurita & Patrick James, 2022. "The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 856-883, July.
  70. Garg, Bhavesh & Prabheesh, K.P., 2021. "Testing the intertemporal sustainability of current account in the presence of endogenous structural breaks: Evidence from the top deficit countries," Economic Modelling, Elsevier, vol. 97(C), pages 365-379.
  71. Koen Pauwels & Shuba Srinivasan, 2004. "Who Benefits from Store Brand Entry?," Marketing Science, INFORMS, vol. 23(3), pages 364-390, July.
  72. 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.
  73. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
  74. Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  75. Mar𨁌orena Mar𑁥l Cristo & Marta G -Puig, 2013. "Pass-through in dollarized countries: should Ecuador abandon the US dollar?," Applied Economics, Taylor & Francis Journals, vol. 45(31), pages 4395-4411, November.
  76. J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
  77. Thomas Glauben & Jens-Peter Loy & Julia Körner, 2007. "Der Einfluss der Euro-Einführung auf die Preisentwicklung bei frischen Lebensmitteln in Deutschland," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 127(3), pages 457-485.
  78. Mário Jorge Cardoso de Mendonça & Cláudio Hamilton Matos dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807171729460, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  79. Rey, Serge, 2009. "L’apport du NATREX à la modélisation des taux de change d’équilibre : théorie et application au dollar canadien," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(2), pages 131-181, juin.
  80. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
  81. Ana I. Sanjuán & Philip J. Dawson & Lionel J. Hubbard & Sawako Shigeto, 2009. "Rents and Land Prices in Japan: A Panel Cointegration Approach," Land Economics, University of Wisconsin Press, vol. 85(4), pages 587-597.
  82. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
  83. Hildegart Ahumada y Magdalena Cornejo, 2015. "Long-run effects of commodity prices on the real exchange rate: evidence from Argentina," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 61, pages 3-33, January-D.
  84. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Mattoussi, Wided, 2023. "Oil price shocks in the age of surging inflation," Energy Economics, Elsevier, vol. 128(C).
  85. Zurbruegg, R. & Allsopp, L., 2004. "Purchasing power parity and the impact of the East Asian currency crisis," Journal of Asian Economics, Elsevier, vol. 15(4), pages 739-758, August.
  86. Gerrit B. Koester & Christoph Priesmeier, 2013. "Does Wagner´s Law Ruin the Sustainability of German Public Finances?," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(3), pages 256-288, September.
  87. Max Soloschenko & Enzo Weber, 2021. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
  88. Priya Malhotra & Pankaj Sinha, 2023. "Exchange-traded Funds in India Amid COVID-19 Crisis: An Empirical Analysis of the Performance," Metamorphosis: A Journal of Management Research, , vol. 22(1), pages 38-54, June.
  89. Bernstein, Ronald & Madlener, Reinhard, 2015. "Short- and long-run electricity demand elasticities at the subsectoral level: A cointegration analysis for German manufacturing industries," Energy Economics, Elsevier, vol. 48(C), pages 178-187.
  90. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  91. Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 480-501.
  92. Zeren, Fatma & Korap, Levent, 2010. "A cost-based empirical model of the aggregate price determination for the Turkish economy: a multivariate cointegration approach," MPRA Paper 23655, University Library of Munich, Germany.
  93. Tarlok Singh, 2023. "Do terms of trade affect economic growth? Robust evidence from India," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 31(2), pages 491-521, April.
  94. João Adelino de Faria & Luiz Fernando de Paula & Manoel Carlos de Castro Pires & Tiago Rinaldi Meyer, 2009. "Liberalização Financeira, Performance e Econômica e Estabilidade Macroeconômica no Brasil: Uma Avaliação do Período Recente," Discussion Papers 1436, Instituto de Pesquisa Econômica Aplicada - IPEA.
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  127. Gregory, Richard P., 2021. "Climate disasters, carbon dioxide, and financial fundamentals," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 45-58.
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