Testing for two-regime threshold cointegration in vector error-correction models

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Tests for Parameter Instability and Structural Change With Unknown Change Point

Donald W. K. Andrews · Econometrica · 1993 · 4.3K citations

Management, Business Economics, Change Measurement +14

Sample Splitting and Threshold Estimation

Bruce E. Hansen · Econometrica · 2000 · 2.8K citations

Social Sciences, Business Economics, Economics +15

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

Donald W. K. Andrews, Werner Ploberger · Econometrica · 1994 · 2.5K citations

Social Sciences, Economics, Econometrics +14

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

Bruce E. Hansen · Econometrica · 1996 · 2.3K citations

Natural Sciences, Economics, Econometrics +15