Bruce E. Hansen


Programs -- Cointegration


"Tests for parameter instability in regressions with I(1) Processes." Journal of Business and Economic Statistics (1992). [Download].

"Residual-based tests for cointegration in models with regime shifts." with Allan Gregory, Journal of Econometrics, (1996). [Download].

"Testing for two-regime threshold cointegration in vector error correction models," with Byeongseon Seo, Journal of Econometrics (2002). [Download].