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Original Articles

Residual-based tests for cointegration in models with multi-breaks

Pages 1001-1006 | Published online: 23 Oct 2008

References

  • Banerjee , A. , Lumsdaine , R. and Stock , J. 1992 . Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 87 .
  • Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
  • Gregory , A. and Hansen , B. E. 1996 . Residual-based tests for cointegration in models with regime shifts . Journal of Econometrics , 70 : 99 – 126 .
  • Hamilton , J. D. 1994 . Time Series Analysis , New Jersey : Princeton University Press .
  • Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .

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