Similar Search Results

Testing for multiple structural changes with non-homogeneous regressors

Kurozumi, Eiji - In: Journal of time series econometrics 7 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10010510054

Asymptotic properties of bubble monitoring tests

Kurozumi, Eiji - In: Econometric reviews 39 (2020) 5, pp. 510-538

Persistent link: https://www.econbiz.de/10012181408

Asymptotic Behavior of Delay Times of Bubble Monitoring Tests

Kurozumi, Eiji - In: Journal of Time Series Analysis 42 (2020) 3, pp. 314-337

Persistent link: https://www.econbiz.de/10012410064

Time-transformed test for bubbles under non-stationary volatility

Kurozumi, Eiji; Skrobotov, Anton; Tsarev, Alexey - In: Journal of financial econometrics 21 (2023) 4, pp. 1282-1307

Persistent link: https://www.econbiz.de/10014391459

Confidence sets for the break date in cointegrating regressions

Kurozumi, Eiji; Skrobotov, Anton - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 514-535

Persistent link: https://www.econbiz.de/10011969523

Novel panel cointegration tests emending for cross-section dependence with N fixed

Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: The econometrics journal 18 (2015) 3, pp. 363-411

Persistent link: https://www.econbiz.de/10011473812

Confidence sets for the break date based on optimal tests

Kurozumi, Eiji; Yamamoto, Yohei - In: The econometrics journal 18 (2015) 3, pp. 412-435

Persistent link: https://www.econbiz.de/10011473814

In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time

Tayanagi, Toshikazu; Kurozumi, Eiji - In: Journal of time series econometrics 15 (2023) 2, pp. 111-149

Persistent link: https://www.econbiz.de/10014465604

Testing for the Null Hypothesis of Cointegration with a Structural Break

Arai, Yoichi; Kurozumi, Eiji - In: Econometric Reviews 26 (2007) 6, pp. 705-739

In this paper we propose residual-based tests for the null hypothesis of cointegration with a structural break against the alternative of no cointegration. The Lagrange Multiplier (LM) test is proposed and its limiting distribution is obtained for the case in which the timing of a structural...

Persistent link: https://www.econbiz.de/10005511909

Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems

Arai, Yoichi; Yamamoto, Taku - In: Economics Letters 67 (2000) 3, pp. 261-271

Persistent link: https://www.econbiz.de/10005257943