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Efficient estimation and inference in cointegrating regressions with structural change
Kurozumi, Eiji (contributor); Arai, Yoichi (contributor) - 2005
Persistent link: https://www.econbiz.de/10002879618
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Testing for null hypothesis of cointegration with a structural break
Arai, Yoichi; Kurozumi, Eiji - In: Econometric reviews 26 (2007) 6, pp. 705-739
Persistent link: https://www.econbiz.de/10003605823
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The limiting properties of the Canova and Hansen test under local alternatives
Kurozumi, Eiji - In: Econometric theory 18 (2002) 5, pp. 1197-1220
Persistent link: https://www.econbiz.de/10001702340
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Testing for stationarity with a break
Kurozumi, Eiji - In: Journal of econometrics 108 (2002) 1, pp. 63-99
Persistent link: https://www.econbiz.de/10001656581
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Detection of structural change in the long-run persistence in a univariate time series
Kurozumi, Eiji - In: Oxford bulletin of economics and statistics 67 (2005) 2, pp. 181-206
Persistent link: https://www.econbiz.de/10002693262
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Testing for multiple structural changes with non-homogeneous regressors
Kurozumi, Eiji - 2012
Persistent link: https://www.econbiz.de/10009532158
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Construction of stationarity tests with less size distortions
Kurozumi, Eiji (contributor) - 2005
Persistent link: https://www.econbiz.de/10003245143
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Modified lag augmented vector autoregressions
Kurozumi, Eiji; Yamamoto, Taku - In: Econometric reviews 19 (2000) 2, pp. 207-231
Persistent link: https://www.econbiz.de/10001483709
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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
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Statistical inference in possibly integrated cointegrated vector autoregressions : application to testing for structural changes
Kurozumi, Eiji; Dashtseren, Khashbaatar - 2011
Persistent link: https://www.econbiz.de/10009238562