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Applied Economics Letters Volume 10, 2003 - Issue 15
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Original Articles

Behaviour of cointegration tests in the presence of structural breaks in variance

Jaesun Noh Treasury, Balance Sheet and Risk Management, CIBC
&
Tae-Hwan Kim School of Economics, University of Nottingham
Pages 999-1002 | Published online: 04 Jun 2010

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Read on this site (2)

Lusine Lusinyan & John Thornton. (2011) Unit roots, structural breaks and cointegration in the UK public finances, 1750–2004. Applied Economics 43:20, pages 2583-2592.
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Joo-Yeon Hyun, Hyeong Ho Mun, Tae-Hwan Kim & Jinook Jeong. (2010) The effect of a variance shift on the Breusch–Godfrey's LM test. Applied Economics Letters 17:4, pages 399-404.
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Mihai Mutascu. (2023) Is biomass energy really sustainable in the United States?. Renewable and Sustainable Energy Reviews 181, pages 113325.
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Simon Clinet & Yoann Potiron. (2021) Cointegration in high frequency data. Electronic Journal of Statistics 15:1.
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Shaoping Wang, Qing Zhao & Yanglin Li. (2019) Testing for no-cointegration under time-varying variance. Economics Letters 182, pages 45-49.
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Mário Jorge Mendonça, Tito Belchior S. Moreira & Adolfo Sachsida. (2017) Uma avaliação da demanda creditícia para automóveis no Brasil no período de 2000 a 2012. Economia e Sociedade 26:2, pages 427-457.
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Mário Jorge Cardoso de Mendonça, Cláudio Hamilton Matos dos Santos & Adolfo Sachsida. (2009) Revisitando a função de reação fiscal no Brasil pós-Real: uma abordagem de mudanças de regime. Estudos Econômicos (São Paulo) 39:4, pages 873-894.
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Cláudio H. dos Santos & Manoel Carlos de Castro Pires. (2009) Qual a sensibilidade dos investimentos privados a aumentos na carga tributária brasileira? Uma investigação econométrica. Revista de Economia Política 29:3, pages 213-231.
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