Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Residual-based tests for cointegration in models with regime shifts

Allan W. Gregory, Bruce E. Hansen · Journal of Econometrics · 1996 · 2.5K citations · Full text

Social Sciences, Economics, Econometrics +13

Tests for Parameter Instability in Regressions with 1(1) Processes

Bruce E. Hansen · Journal of Business and Economic Statistics · 1992 · 949 citations

Social Sciences, Economics, Econometrics +11

Cointegration analysis in the presence of structural breaks in the deterministic trend

Søren Johansen, Rocco Mosconi, Bent Nielsen · Econometrics Journal · 2000 · 718 citations

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Tests for Parameter Instability in Regressions with I(1) Processes

Bruce E. Hansen · Journal of Business and Economic Statistics · 1992 · 574 citations

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Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger

Robert F. Engle, Halbert White · RePEc: Research Papers in Economics · 1999 · 316 citations

Business, Business Economics, Economics +17