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

By Mohitosh Kejriwal, Pierre Perron. 2008

126 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b6f687de952b106c8284583e8e2f02c88ccce8c4

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. Tatsushi Oka
2. Shaif Hezam Jarallah
3. Zhongjun Qu
4. Mouyad Alsamara
5. Z. Mrabet
6. Pierre Perron
7. Lajos Horv'ath
8. Alexander Aue

In Finance

1. Tatsushi Oka
2. Shaif Hezam Jarallah
3. Zhongjun Qu
4. Mouyad Alsamara
5. Z. Mrabet
6. Lajos Horv'ath
7. Alexander Aue
8. Pierre Perron

Citations in the corpus

• Estimating Structural Changes in Regression Quantiles (2011, background): “Hansen (1992), Bai et al. (1998) and Kejriwal and Perron (2008) considered regressions with integrated variables.”
• The impact of economic development on environmental degradation in Qatar (2016, methodology): “Moreover, to check the robustness of the results we employed themethod developed by Kejriwal and Perron (2008, 2010) and Kejriwal (2008) to test the number of structural changes and the presence of a cointegration relationship between variables.”