Gregory, A.W., J.M. Nason, and D.G. Watt, 1996, Testing for structural breaks in cointegrated relationships, Journal of Econometrics 71, 321-341.  Home/Search Document Not in Database Summary Related Articles |
This paper is cited in the following contexts:
Asymmetric Adjustment of Commercial Bank Interest Rates in.. - Sander, Kleimeier (2000) (Correct)
....by a structural break and if so, when this break takes place. This is important since in the presence of a structural break, the standard cointegration tests such as those proposed by Engle and Granger have low power, i.e. the rejection frequency of the ADF test is clearly reduced (e.g. Gregory et al. 1996). The cointegration relationship is described by equation (3) using the 3 This unit root test is based on a series of sub samples which span one quarter of the total sample each and comprise data from t = 1 to k, t = 2 to k 1, until t = n to T. The recursive min t is found as the smallest ....
Gregory, A.W., J.M. Nason, and D.G. Watt, 1996, Testing for structural breaks in cointegrated relationships, Journal of Econometrics 71, 321-341.
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