[资料] unit root & cointegration test存在structural change的经典文献 [推广有奖]

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maggiekou 发表于 2012-8-22 22:42:39 |AI写论文

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1992 - Zivot & Andrews, Journal of Business & Economic Statistics. Further evidence on the great crash, the oil-price shock, and the unit root hypothesis

1996 - Gregory, Hansen, Journal of Econometrics. Residual based tests for cointegration in models with regime shifts

2008 - Hatemi, Empirical Economics . Tests for cointegration with two unknown regime shifts with an application to financial market integration