Narrow search
Showing 1 - 10 of 13
Cover Image
Model selection criteria in multivariate models with multiple structural changes
Kurozumi, Eiji; Tuvaandorj, Purevdorj - 2010
This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of multiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a...
Persistent link: https://www.econbiz.de/10008697558
Cover Image
Testing for multiple structural changes with non-homogeneous regressors
Kurozumi, Eiji - 2012
Persistent link: https://www.econbiz.de/10009532158
Cover Image
Testing for multiple structural changes with non-homogeneous regressors
Kurozumi, Eiji - In: Journal of time series econometrics 7 (2015) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10010510054
Cover Image
Testing for stationarity with a break
Kurozumi, Eiji - In: Journal of econometrics 108 (2002) 1, pp. 63-99
Persistent link: https://www.econbiz.de/10001656581
Cover Image
Testing for null hypothesis of cointegration with a structural break
Arai, Yoichi; Kurozumi, Eiji - In: Econometric reviews 26 (2007) 6, pp. 705-739
Persistent link: https://www.econbiz.de/10003605823
Cover Image
Confidence sets for the break date based on optimal tests
Kurozumi, Eiji; Yamamoto, Yohei - 2015
Persistent link: https://www.econbiz.de/10011349992
Cover Image
Confidence sets for the break date in cointegrating regressions
Kurozumi, Eiji; Skrobotov, Anton - 2016
Persistent link: https://www.econbiz.de/10011549903
Cover Image
Statistical inference in possibly integrated cointegrated vector autoregressions : application to testing for structural changes
Kurozumi, Eiji; Dashtseren, Khashbaatar - 2011
Persistent link: https://www.econbiz.de/10009238562
Cover Image
Testing the Prebish-Singer hypothesis using second-generation panel data stationarity tests with a break
Arezki, Rabah; Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: Economics letters 117 (2012) 3, pp. 814-816
Persistent link: https://www.econbiz.de/10009682663
Cover Image
Confidence sets for the break date based on optimal tests
Kurozumi, Eiji; Yamamoto, Yohei - In: The econometrics journal 18 (2015) 3, pp. 412-435
Persistent link: https://www.econbiz.de/10011473814