Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study

Keywords

Cointegration, Monte Carlo method, Residual, Estimator, Econometrics

References

• COINTEGRATION AND ERROR CORRECTION: REPRESENTATIONRobert F. Engle, Granger C.W.J. — 1987
• Estimating and testing linear models with multiple structural changesJushan Bai, Pierre Perrón — 1995
• Computation and Analysis of Multiple Structural-Change ModelsJushan Bai, Pierre Perrón — 1998
• A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixPeter Burridge — 1991
• Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]David I. Harvey, Stephen J. Leybourne, Robert Taylor — 2009
• Stopping Tests in the Sequential Estimation for Multiple Structural BreaksGiovanni Urga, Christian de Peretti — 2004
• Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt — 1992
• Long-run purchasing power parity in the 1920sMark P. Taylor, Patrick C. McMahon — 1988
• Residual-based tests for cointegration in models with regime shiftsAllan W. Gregory, Bruce E. Hansen — 1996
• A Functional Central Limit Theorem for Weakly Dependent Sequences of Random VariablesNorbert Herrndorf — 1984
• Searching for cointegration in a dynamic systemZhongjun Qu — 2007
• Multiple Time Series Regression with Integrated ProcessesP. C. B. Phillips, Steven N. Durlauf — 1986
• A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMSJames H. Stock, Mark W. Watson — 1993
• New Improved Tests for Cointegration with Structural BreaksJoakim Westerlund, David Edgerton — 2007
• Testing For A Unit Root In A Time Series With A Changing MeanPierre Perrón — 1990
• Statistical Inference in Instrumental Variables Regression with I(1) ProcessesPeter C.B. Phillips, Bruce E. Hansen — 1990
• Testing for Shifts in Trend With an Integrated or Stationary Noise ComponentPierre Perrón, Tomoyoshi Yabu — 2009
• Tests for cointegration a Monte Carlo comparisonAlfred A. Haug — 1996
• Testing for Cointegration in a System of EquationsIn Choi, Byung Chul Ahn — 1995
• Testing for Multiple Structural Changes in Cointegrated Regression ModelsMohitosh Kejriwal, Pierre Perrón — 2010

Cited by

• Essays in Systemic Risk andContagionRiccardo Pianeti — 2014
• DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSIONMohitosh Kejriwal, Pierre Perrón — 2008

Related papers

• Monte Carlo tests of cointegration with structural breaksRalf Östermark, Rune Höglund — 2000
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo ComparisonVasco J. Gabriel — 2003
• Simulation experiments on the performance of structural change tests in cointegrationSami Khedhiri — 2008
• On Monte Carlo Estimation of Relative PowerPaolo Paruolo — 2002
• Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo StudyÅsa Eriksson — 2004
• Monte carlo sampling approach to testing nonnested hypothesis: monte carlo resultsNene Coulibaly, B. Wade Brorsen — 1999
• A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysisTakamitsu Kurita — 2009
• The Robustness of Tests for Seasonal Differencing to Structural BreaksArtur Silva Lopes — 2000
• Monte Carlo Evaluation of Resampling-Based Hypothesis TestsDennis D. Boos, Ji Zhang — 2000
• Testing for Structural Breaks at Unknown Time: A SteeplechaseMakram El‐Shagi, Sebastian Giesen — 2013