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Residual-based tests for cointegration in models with regime shifts

, and . Journal of Econometrics, 70 (1): 99--126 (January 1996)

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GARCH(1, 1) processes are near epoch dependent. Economics Letters, 36 (2): 181--186 (June 1991)Heteroskedastic cointegration. Journal of Econometrics, 54 (1-3): 139--158 (00 1992)Residual-based tests for cointegration in models with regime shifts, and . Journal of Econometrics, 70 (1): 99--126 (January 1996)Threshold Autoregression with a Unit Root, and . Econometrica, 69 (6): 1555--1596 (305 11 2001)doi: 10.1111/1468-0262.00257.Generalized Method of Moments and Macroeconomics, and . Journal of Business & Economic Statistics, 20 (4): 460-469 (October 2002)available at http://ideas.repec.org/a/bes/jnlbes/v20y2002i4p460-69.html.Interval forecasts and parameter uncertainty. Journal of Econometrics, 135 (1-2): 377--398 (00 2006)Testing for two-regime threshold cointegration in vector error-correction models, and . Journal of Econometrics, 110 (2): 293--318 (October 2002)Testing for structural change in conditional models. Journal of Econometrics, 97 (1): 93--115 (July 2000)Testing for parameter instability in linear models. Journal of Policy Modeling, 14 (4): 517--533 (August 1992)Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics, 93 (2): 345--368 (December 1999)