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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

Wald tests for detecting multiple structural changes in persistence

Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric theory 29 (2013) 2, pp. 289-323

Persistent link: https://www.econbiz.de/10009760008

A note on estimating a structural change in persistence

Kejriwal, Mohitosh; Perron, Pierre - In: Economics letters 117 (2012) 3, pp. 932-935

Persistent link: https://www.econbiz.de/10009683385

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

Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression

Kejriwal, Mohitosh; Perron, Pierre - Department of Economics, Boston University - 2006

Saikkonen (1991) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the I(1) regressors. However, the...

Persistent link: https://www.econbiz.de/10005200387

Testing for Multiple Structural Changes in Cointegrated Regression Models

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 503-523

Persistent link: https://www.econbiz.de/10008704009

WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE

Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric theory 29 (2012) 2, pp. 289-323

Persistent link: https://www.econbiz.de/10010099083

A note on estimating a structural change in persistence

Kejriwal, Mohitosh; Perron, Pierre - In: Economics letters 117 (2012) 3, pp. 932-936

Persistent link: https://www.econbiz.de/10010042088

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. 1425-1442

Persistent link: https://www.econbiz.de/10008088968

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/10008109084