Arranz, Miguel A.

Escribano, Álvaro

English

Research Papers in Economics

A theory of co-breaking. Paper presented at the Time Series Meeting organized by NBER-NSF.

An outlier robust unit root tess with an application to the extended Nelson-Plosser data',

Bootstrapping sequential tests for multiple structural breaks. Discussion Paper 17-98,

Canonical cointegrating regression:

Co-integration, time co-trends and error-correction systems: an altemative approach, Discussion Paper 8715, COREo Franses,

Cointegration and error-correction: Representation, estimation, and testing',

Cointegration testing under transitory breaks: Robust ECM testing procedures, Working Paper 98-82, Universidad Carlos III de Madrid.

Cointegration testing using pseudo likelihood-ratio tests',

Cointegration tests in the presence of structural breaks',

Cointegration, error-correction, and the econometric analysis 01 non-stationary data,

Detrending procedures and cointegration testing: ECM tests under structural breaks, Working Paper 98-15, Universidad Carlos III de Madrid.

Distribution of the estimators for autoregressive time series with a unit root',

ECM test for cointegration in a single equation framework',

Estimating and testing linear models with multiple structural changes',

Estimating multiple breaks one at a time',

Exploring equilibrium relationships in econometrics through static models: Sorne Monte Carlo evidence',

Further evidence on the great crash, the oil price shock and the unit root hypothesis',

Is unit root testing on trend components robust against additive outliers?, Working Paper 98-79, Universidad Carlos III de Madrid.

La inversión en España: Econometría con restricciones de equilibrio,

Making Wald tests work for cointegrated VAR systems',

Measuring business cycles: Approximate bandpass filters for economic time series, Working

Nonstationarity and level shifts with an application to purchasing power parity',

Optimal change points tests for normal linear regression',

Outlier robust cointegration tests,

Post-war U.S. business cycle: An empirical investigation,

Post-war U.S. business cycle: An empirical investigation',

Recursive and sequential tests 29 of unit root and trend break hypothesis: Theory and intemational evidence',

Rethinking the univariate approach to unit root testing: Using covariates to increase power',

Segmented trends and nonstationary time series',

Spurious rejections by DickeyFuller tests in the presence of a break under the null',

Statistical inference in instrumental variables regression with 1(1) processes',

Statistical inference in regressions with integrated processes: Part 11',

Statistical inference in vector autoregression with possibly integrated processes',

Tests of parameter instabi1ity and structural change with unknown break point',

The effects of additive outliers on unit roots and cointegration',

The great crash, the oil price shock and the unit root hypothesis',

The impact ofstructural breaks on unit root tests, in

The power of cointegration tests',

Towards a unified asymptotic theory for autoregression',

Unit roots tests based on M estimators',

Wald-type tests for detecting breaks in the trend of a dynamic time series',

Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model.

http://e-archivo.uc3m.es/bitstream/10016/2563/2/Cointegration_OBES_2000_ps.PDF

Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model.

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Research Papers in Economics