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Testing for multiple structural changes iin cointegrated regression models

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 503-522

Persistent link: https://www.econbiz.de/10008736147

Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

Kejriwal, Mohitosh; Perron, Pierre - In: Econometric theory 24 (2008) 5, pp. 1425-1441

Persistent link: https://www.econbiz.de/10003748806

The limit distribution of the estimates in cointegrated regression models with multiple structural changes

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73

Persistent link: https://www.econbiz.de/10003778212

Cointegration with structural breaks : an application to the Feldstein-Horioka puzzle

Kejriwal, Mohitosh - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10009513639

Structural change in cointegrated systems : theory and applications

Kejriwal, Mohitosh - 2007

Persistent link: https://www.econbiz.de/10009707948

Residuals-based tests for cointegration with generalized least-squares detrended data

Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111

Persistent link: https://www.econbiz.de/10011487613

Residual based tests for cointegration with GLS detrended data

Perron, Pierre; Rodriguez, Gabriel - 2000

Persistent link: https://www.econbiz.de/10001459082

A modified information criterion for cointegration tests based on a VAR approximation

Qu, Zhongjun; Perron, Pierre - In: Econometric theory 23 (2007) 4, pp. 638-685

Persistent link: https://www.econbiz.de/10003549586

A Modified Information Criterion for Cointegration Tests Based on a VAR Approximation

Qu, Zhongjun; Perron, Pierre - 2006

We consider Johansen's (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike's (AIC) or the Bayesian...

Persistent link: https://www.econbiz.de/10014055176