Hansen, B.E., 1992, Tests for parameter instability in regressions with I(1) processes, Journal of Business & Economic Statistics 10, 321-341.  Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Asymmetric Adjustment of Commercial Bank Interest Rates in.. - Sander, Kleimeier (2000) (Correct)
....will therefore need to be employed. Second, a time period free of structural breaks in the cointegration relationship has to be identified otherwise the interpretation of the cointegration vector will result in misleading conclusions. As Quandt (1960) Andrews (1993) Diebold and Chen (1996) and Hansen (1992) show, a supremum F test allows the exact determination of the timing of such a structural break. Once the break has been determined, the complete cointegration analysis can then be conducted for the pre and post break periods separately. In particular, our study will focus on the post break ....
....x t of the same country as the independent variable: 3) y t = g 1 g 2 x t u t To test for structural breaks a supremum F (supF) test is calculated. This test was first proposed by Quandt (1960) and has recently been the focus of various studies (e.g. Andrews 1993, Diebold and Chen 1996, Hansen 1992). This test can be seen as a rolling Chow test and is more flexible than the standard Chow test because it allows simultaneously to test for the significance and the timing of a structural break in the cointegration relationship 5 . If a break is present, the cointegration analysis will proceed ....
[Article contains additional citation context not shown here]
Hansen, B.E., 1992, Tests for parameter instability in regressions with I(1) processes, Journal of Business & Economic Statistics 10, 321-341.
Has the U.S. Economy Become More Stable? A Bayesian Approach.. - Kim, Nelson (1999) (1 citation) (Correct)
No context found.
Hansen, Bruce E., 1992a, \Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business and Economic Statistics, Vol. 10, No. 3, 321-335.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC