Testing the Null of Cointegration With Structural Breaks

182 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The shifting drivers of global liquidity (2020, unknown): “Using the tools developed in Bai (1994, 1997), Kurozumi (2002) and Carrion-i-Silvestre and Sansó (2006), for each quarter 𝑇 starting in 2007:Q1, we estimate the following equation: 𝐺𝑟𝑅𝑎𝑡𝑒 𝑌𝑡 𝑗 = 𝛽 ′𝑋𝑡 𝑗 + 𝜇𝑗 + 𝐼(𝑡 ≥ 𝑇)(𝜅 + 𝛾 ′𝑋𝑡 𝑗 ) + 𝜀𝑡 𝑗 (2) where 𝑋𝑡 𝑗 = (Δ𝐹𝐹𝑅𝑡 ,…”
Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, background): “The testing problem considered here is quite similar to that of Carrion-i-Silvestre and Sanso ( 2004 ), although our treatment for endogenous regressors and a structural break of unknown timing are substantially different.”
Does trade openness affect long run growth? Cointegration, causality and forecast error variance decomposition tests for Pakistan (2012, background): “Chansomphou and Ichihashi (2011) considered structural break point to examine impact of trade openness on economic growth of South East Asian economies before and after the Asian financial crisis applying Carrion-i-Silvestre and Sanso (2006) structural break cointegration approach9.”