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Cited by 267

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Testing for structural breaks in cointegrated relationships

Gregory, Allan W., Nason, James M., Watt, David G.·1996·Journal of Econometrics
DOI 10.1016/0304-4076(96)84508-8
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Research works printed but not linked: 26

  1. Andrews, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817, 10.2307/2938229 · DOI · Paper page
  2. Andrews, 1992, An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator, Econometrica, 60, 953, 10.2307/2951574 · DOI · Paper page
  3. Balke, 1991, Shifting trends, segmented trends, and infrequent permanent shocks, Journal of Monetary Economics, 28, 61, 10.1016/0304-3932(91)90025-J · doi:10.1016/0304-3932(91)90025-j
  4. Banerjee, 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, 10.2307/1391542 · DOI
  5. Bewley, 1979, The direct estimation of the equilibrium response in linear models, Economics Letters, 3, 375, 10.1016/0165-1765(79)90011-9 · DOI · Paper page
  6. Christiane, 1992, Searching for a break in GNP, Journal of Business and Economic Statistics, 10, 237, 10.2307/1391540 · doi:10.2307/1391540
  7. Dolado, 1991, Estimating intertemporal quadratic adjustment cost models with integrated series, International Economic Review, 32, 919, 10.2307/2527043 · doi:10.2307/2527043
  8. Gregory, 1994, Testing for cointegration in linear quadratic models, Journal of Business and Economic Statistics, 2, 347, 10.2307/1392091 · doi:10.2307/1392091
  9. Gregory, 1994, Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics
  10. Hansen, 1992, Tests for parameter instability in regressions with I(1) processes, Journal of Business and Economic Statistics, 10, 321, 10.2307/1391545 · DOI · Paper page
  11. Johansen, 1991, Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models, Econometrica, 59, 1551, 10.2307/2938278 · DOI · Paper page
  12. Kennan, 1979, The estimation of partial adjustment models with rational expectations, Econometrica, 47, 1441, 10.2307/1914011 · doi:10.2307/1914011
  13. Kramer, 1988, Testing for structural change in dynamic models, Econometrica, 56, 1355, 10.2307/1913102 · DOI · Paper page
  14. Meese, 1980, Dynamic demand schedules for labor and capital under rational expectations, Journal of Econometrics, 14, 141, 10.1016/0304-4076(80)90078-0 · doi:10.1016/0304-4076(80)90078-0
  15. Ng, 1994, Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag, Journal of the American Statistical Association
  16. Perron, 1989, The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 · DOI · Paper page
  17. Perron, 1990, Testing for a unit root in a time series with a changing mean, Journal of Business and Economic Statistics, 8, 153, 10.2307/1391977 · doi:10.2307/1391977
  18. Perron, 1992, Nonstationarity and level shifts with an application to purchasing power parity, Journal of Business and Economic Statistics, 10, 301, 10.2307/1391544 · doi:10.2307/1391544
  19. Phillips, 1991, Optimal inferences in cointegrated systems, Econometrica, 59, 283, 10.2307/2938258 · DOI · Paper page
  20. Phillips, 1990, Statistical inference in instrumental variables regression with I(1) processes, Review of Economic Studies, 57, 99, 10.2307/2297545 · DOI · Paper page
  21. Phillips, 1991, Estimating long run economic equilibria, Review of Economic Studies, 58, 407, 10.2307/2298004 · DOI · Paper page
  22. Phillips, 1990, Asymptotic properties of residual based tests for cointegration, Econometrica, 58, 165, 10.2307/2938339 · DOI · Paper page
  23. Saikkonen, 1991, Asymptotically efficient estimation of cointegration regressions, Econometric Theory, 7, 1, 10.1017/S0266466600004217 · DOI · Paper page
  24. Stock, 1993, A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica, 61, 783, 10.2307/2951763 · DOI · Paper page
  25. West, 1986, Full- versus limited-information of a rational expectations model: Some numerical comparisons, Journal of Econometrics, 33, 367, 10.1016/0304-4076(86)90003-5 · doi:10.1016/0304-4076(86)90003-5
  26. Zivot, 1992, Further evidence of the great crash, the oil price shock and the unit root hypothesis, Journal of Business and Economic Statistics, 10, 251, 10.2307/1391541 · doi:10.2307/1391541 · Paper page

Cited by

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Metadata

Authors
Gregory, A. W., Nason, J. M., & Watt, D. G.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
1996-03
Volume
71
Issue
1-2
Pages
321-341
ISSN
0304-4076 (ISSN-L)
DOI
10.1016/0304-4076(96)84508-8
OpenAlex
W2045499120
Cited by
267
References
2
FWCI
16.76
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Testing for structural breaks in cointegrated relationships. https://app.cochat.ai/papers/10.1016/0304-4076(96)84508-8
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Gregory, A. W., Nason, J. M., & Watt, D. G. (1996). Testing for structural breaks in cointegrated relationships. Journal of Econometrics. https://doi.org/10.1016/0304-4076(96)84508-8

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