New Improved Tests for Cointegration with Structural Breaks

Keywords

Cointegration, Mathematics, Structural break, Monte Carlo method, Heteroscedasticity

References

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• Estimating Multiple Breaks One at a TimeJushan Bai — 1997
• Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisEric Zivot, Donald W. K. Andrews — 1992
• A modification of the Schmidt-Phillips unit root testPeter Schmidt, Junsoo Lee — 1991
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• Co-integration and error correction: representation, estimation and testingRobert F. Engle, C. W. J. Granger — 1987
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• Time series regression with a unit rootP. C. B. Phillips — 1987
• Time Series Regression With a Unit Root and Infinite-Variance ErrorsP. C. B. Phillips — 1990
• Testing the Null of Cointegration With Structural BreaksJosep Lluís Carrion‐i‐Silvestre, Andreu Sansó — 2006
• Testing for the Presence of a Random Walk in Series with Structural BreaksFabio Busetti, Andrew Harvey — 1998

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• The Secret Life of Fear: Interdependencies Among Implied Volatilities Represented by different Stock Volatility Indices Treated as AssetsSaku Nousiainen — 2010
• Examining Patterns of Bilateral Trade between Australia and Colombia by Using Cointegration Analysis and Error-Correction ModelsM. Cortes — 2007
• Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo studyMatteo Mogliani — 2010
• Ricardian equivalence and super exogeneity: a new approachLászló Kónya, Bekzod Abdullaev — 2013
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrendingJoakim Westerlund — 2013
• The effect of recursive detrending on panel unit root testsJoakim Westerlund — 2015
• Tests for cointegration allowing for an unknown number of breaksDaiki Maki — 2012
• Trade liberalization and import demand: The Central American experienceStephanie Glover, Alan King — 2011
• Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaksPui Sun Tam — 2012
• Simple unit root testing in generally trending data with an application to precious metal prices in AsiaJoakim Westerlund — 2013
• Revisiting the nexus between financial development, FDI, and growth: New evidence from second generation econometric procedures in the Turkish contextHasan Güngör, Salih Katırcıoğlu, Mehmet Mercan — 2014
• Identification of Common Factors in Multivariate Time Series ModelingMariano González, Juan M. Nave — 2015
• Panel cointegration tests of the Fisher effectJoakim Westerlund — 2006
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• Exchange Rate Devaluation and Reshuffling of Global JobsLuca Macedoni, F. Sdogati — 2013
• Real exchange rates and fundamentals: robustness across alternative model specificationsKonrad Adler, Christian Grisse — 2014

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