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Spurious rejections by cointegration tests induced by structural breaks

Leybourne, Stephen James; Newbold, Paul - In: Applied economics 35 (2003) 9, pp. 1117-1121

Persistent link: https://www.econbiz.de/10001761588

A more powerful modification of Johansen's cointegration tests

Leybourne, Stephen James; Kim, Tae-hwan; Newbold, Paul - In: Applied economics 40 (2008) 4/6, pp. 725-729

Persistent link: https://www.econbiz.de/10003722969

A comment on tests for asymmetric threshold cointegration with an application to the term structure : cointegration methods matter

Hegwood, Natalie; Tuttle, Markland H. - In: The journal of economics 39 (2013) 1, pp. 73-77

Persistent link: https://www.econbiz.de/10010127272

Tests for asymmetric threshold cointegration with an application to the term structure

Wohar, Mark E.; Sollis, Robert - In: The journal of economics 33 (2007) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10003672620

The real exchange rate-real interest rate relation : evidence from tests for symmetric and asymmetric threshold cointegration

Sollis, Robert; Wohar, Mark E. - In: International journal of finance & economics : IJFE 11 (2006) 2, pp. 139-153

Persistent link: https://www.econbiz.de/10003322582

Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks

Sollis, Robert - In: Forecasting in the presence of structural breaks and …, (pp. 535-559). 2008

This paper investigates forecasting US Treasury bond and Dollar Eurocurrency rates using the stochastic unit root (STUR) model of Leybourne et al. (1996), and the stochastic cointegration (SC) model of Harris et al. (2002, 2006). Both models have time-varying parameter representations and are...

Persistent link: https://www.econbiz.de/10015382990

Some limit theory for autocovariances whose order depends on sample size

Harris, David; McCabe, Brendan Peter Martin; Leybourne, … - In: Econometric theory 19 (2003) 5, pp. 829-864

Persistent link: https://www.econbiz.de/10001802822

Stochastic cointegration : estimation and inference

Harris, David; McCabe, Brendan Peter Martin; Leybourne, … - In: Journal of econometrics 111 (2002) 2, pp. 363-384

Persistent link: https://www.econbiz.de/10001715761

A residual-based test for stochastic cointegration

McCabe, Brendan Peter Martin; Leybourne, Stephen James; … - In: Econometric theory 22 (2006) 3, pp. 429-456

Persistent link: https://www.econbiz.de/10003307479

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point

Harris, David; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 192 (2016) 2, pp. 451-467

Persistent link: https://www.econbiz.de/10011704729