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Testing for Multiple Structural Changes in Cointegrated Regression Models
Kejriwal, Mohitosh; Perron, Pierre - Krannert School of Management, Purdue University - 2008
This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. We show that even if the coefficients of the...
Persistent link: https://www.econbiz.de/10005835341
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Testing for Multiple Structural Changes in Cointegrated Regression Models
Kejriwal, Mohitosh; Perron, Pierre - Department of Economics, Boston University - 2006
This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. Our asymptotic results show that as long as the...
Persistent link: https://www.econbiz.de/10004972918
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Testing for Multiple Structural Changes in Cointegrated Regression Models
Kejriwal, Mohitosh; Perron, Pierre - Department of Economics, Boston University - 2007
This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. We show that even if the coefficients of the...
Persistent link: https://www.econbiz.de/10004994222
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Explaining the Growth of Government Spending in South Africa
Alm, James; Embaye, Abel - Department of Economics, Tulane University - 2011
institutions) and externally generated shocks (e.g., war, oil shocks). Using multivariate cointegration techniques, we find that …
Persistent link: https://www.econbiz.de/10008914300
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Nonparametric Rank Tests for Non-stationary Panels
Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …
Persistent link: https://www.econbiz.de/10009132675
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Does the purchasing power parity hypothesis hold after 1998?
Zanetti Chini, Emilio - Volkswirtschaftliche Fakultät, … - 2010
criticized. Multivariate and panel cointegration, and nonlinear models are here implemented. The theory is rejected and both the …
Persistent link: https://www.econbiz.de/10008753101
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“The relationship between debt level and fiscal sustainability in OECD countries”
Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
obtained for a group of 17 OECD countries point to weak fiscal sustainability, as well as to the existence of cointegration …
Persistent link: https://www.econbiz.de/10010692155
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“The relationship between debt level and fiscal sustainability in OECD countries”
Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Institut de Recerca en Economia Aplicada (IREA), … - 2013
obtained for a group of 17 OECD countries point to weak fiscal sustainability, as well as to the existence of cointegration …
Persistent link: https://www.econbiz.de/10010692407
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The relationship between debt level and fiscal sustainability in OECD countries
Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Departament d'Estructura Econòmica, Facultad de Economía - 2014
for a group of 17 OECD countries point to weak …scal sustainability, as well as to the existence of cointegration between …
Persistent link: https://www.econbiz.de/10010764580
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The relationship between debt level and fiscal sustainability in OECD countries
Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Departament d'Economia, Universitat Jaume I - 2013
obtained for a group of 17 OECD countries point to weak fiscal sustainability, as well as to the existence of cointegration …
Persistent link: https://www.econbiz.de/10010773004