Structural changes in the cointegrated vector autoregressive model

By P. R. Hansen. 2003

165 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/23ae4e5c0c263cdc3715592e2caa53d1d8cdc1fa

How researchers see this paper

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

In Economics and Econometrics

1. Pierre Perron
2. Robert J. Taylor
3. Giuseppe Cavaliere
4. Mohitosh Kejriwal
5. Alan M. Taylor
6. Y. Arai
7. Anders Rahbek
8. Anindya Banerjee

In Finance

1. Y. Arai
2. Robert J. Taylor
3. Anders Rahbek
4. Giuseppe Cavaliere
5. Pierre Perron
6. Mohitosh Kejriwal
7. H. Bierens
8. Luís F. Martins

Citations in the corpus

• Testing for Multiple Structural Changes in Cointegrated Regression Models (2010, methodology): “Hansen (1992b) showed that the LM test designed to detect a martingale specification in the intercept, in the spirit of the test of Nyblom (1989), can be viewed as a test for the null of cointegration against the alternative of no cointegration.”
• Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “A significant point of departure not referred to above but considered here, concerns allowing for changes in the explanatory variables in ð1Þ: Hansen (2000) points out that it is usually unrealistic to exclude structural change in the marginal distributions.”
• Structural breaks with deterministic and stochastic trends (2005, background): “Finally, Hansen (2003) considers multiple breaks in any parameter of a cointegrated vector autoregressive system, though he assumes the break dates to be known.”
• Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, methodology): “Proof of Theorem 1: To prove Theorem 1 proceed as in Hansen, Dennis and Rahbek (2002) by initially proving Lemma A.”
• Dealing with Structural Breaks (2005, background): “Hansen (2003) considers multiple structural changes in a cointegrated system, though his analysis is restricted to the case of known break dates.”
• Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, background): “2 Notes 1Tests for cointegration with structural breaks of “known” timing are proposed by Saikkonen & Lütkepohl (2000), Hansen (2003) and Lütkepohl et al. (2003).”
• TIME-VARYING COINTEGRATION (2010, background): “Andrade, Bruneau, and Gregoir (2005) study a similar model as Hansen (2003) and develop tests on the cointegration rank and on the cointegration space under known and unknown break points.”