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User profiles for author:"Mohitosh Kejriwal"

Mohitosh Kejriwal

Assistant Professor of Economics, Purdue University
Verified email at purdue.edu
Cited by 110

[PDF] Testing for multiple structural changes in cointegrated regression models

[PDF] from amstat.org
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M Kejriwal… - Journal of Business and Economic Statistics, 2010 - ASA
We consider testing for multiple structural changes in cointegrated systems and derive the
limiting distribution of the sup-Wald test under mild conditions on the errors and regressors
for a variety of testing problems. We show that even if the coefficients of the integrated ...
Cited by 35 - Related articles - View as HTML - All 22 versions

The limit distribution of the estimates in cointegrated regression models with multiple structural changes

[PDF] from psu.edu
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M Kejriwal… - Journal of Econometrics, 2008 - Elsevier
We study estimation and inference in cointegrated regression models with multiple structural
changes allowing both stationary and integrated regressors. Both pure and partial structural
change models are analyzed. We derive the consistency, rate of convergence and the ...
Cited by 25 - Related articles - All 15 versions

Cointegration with structural breaks: an application to the Feldstein-Horioka Puzzle

Full text - MIT Libraries
M Kejriwal - Studies in nonlinear dynamics & econometrics, 2008 - degruyter.com
This paper revisits the well known Feldstein-Horioka saving-investment correlation puzzle
from a time series perspective using a sample of 21 OECD countries. We argue that the
strong positive correlation between saving and investment as originally identified by ...
Cited by 13 - Related articles - All 8 versions

Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

Full text - MIT Libraries
M Kejriwal… - Econometric Theory, 2008 - Cambridge Univ Press
Saikkonen~ 1991, Econometric Theory 7, 1–21! developed an asymptotic optimality theory
for the estimation of cointegrated regressions+ He proposed the dynamic ordinary least
squares~ OLS! estimator obtained by augmenting the static cointegrating regression with ...
Cited by 9 - Related articles - All 5 versions

Unit roots, level shifts and trend breaks in per capita output: A robust evaluation

[PDF] from uni-muenchen.de
M Kejriwal… - Economics Working Papers, 2010 - works.bepress.com
Abstract Determining whether per capita output can be characterized by a stochastic trend is
complicated by the fact that infrequent breaks in trend can bias standard unit root tests
towards non-rejection of the unit root hypothesis. The bulk of the existing literature has ...
Cited by 3 - Related articles - All 19 versions

[PDF] Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression

[PDF] from psu.edu
M Kejriwal… - … -Department of Economics-Working Papers Series, 2006 - Citeseer
Abstract Saikkonen (1991) developed an asymptotic optimality theory for the estimation of
cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting
the static cointegrating regression with leads and lags of the first differences of the I (1) ...
Cited by 2 - Related articles - View as HTML - All 13 versions

Tests for a mean shift with good size and monotonic power

[PDF] from economics.ca
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M Kejriwal - Economics Letters, 2009 - Elsevier
This paper proposes tests for a mean shift based on a new hybrid estimator of the long-run
variance. It is shown that these tests can bypass the non-monotonic power problem of the
LM tests while maintaining adequate size properties.
Cited by 2 - Related articles - All 5 versions

[PDF] Wald tests for detecting multiple structural changes in persistence

[PDF] from msu.edu
M Kejriwal, P Perron… - Purdue University Economics …, 2009 - econ.msu.edu
Abstract This paper considers the problem of testing for multiple structural changes in the
persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis
that the process has an autoregressive unit root against the alternative hypothesis that the ...
Cited by 2 - Related articles - View as HTML - All 9 versions

The Nature of Persistence in Euro Area Inflation: A Reconsideration

M Kejriwal - Purdue University Economics Working Papers, 2009 - ideas.repec.org
Recent empirical studies find little evidence of a change in euro area inflation persistence
over the post-1970 period. Their methodology is primarily based on standard unit root and
structural break tests on the persistence parameter in an autoregressive specification for ...
Cited by 1 - Related articles - Cached - All 4 versions

Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses

M Kejriwal… - Boston University-Department of Economics …, 2006 - ideas.repec.org
Perron (1989) introduced a variety of unit root tests that are valid when a break in the trend
function of a time series is present. The motivation was to devise testing procedures that
were invariant to the magnitude of the shift in level and/or slope. In particular, if a change ...
Cached - All 4 versions

Structural change in cointegrated systems: Theory and applications

M Kejriwal - 2007 - gradworks.umi.com
Abstract: My dissertation studies theoretical and empirical aspects of structural change in
cointegrated systems. Chapters 1 and 2 provide theoretical analyses of the relevant issues
while Chapter 3 uses the tools developed to study the Feldstein-Horioka puzzle. Chapter ...
Cached

Economics & Statistics

M Kejriwal… - banque-france.fr
Abstract Determining whether per capita output can be characterized by a stochastic trend is
complicated by the fact that infrequent breaks in trend can bias standard unit root tests
towards non-rejection of the unit root hypothesis. The bulk of the existing literature has ...
Cached

[PDF] Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation

[PDF] from umn.edu
A Ghoshray, M Kejriwal… - … Congress, August 30- …, 2011 - ageconsearch.umn.edu
Abstract This paper examines the Prebisch-Singer Hypothesis employing new time series
procedures that are robust to the nature of persistence in the commodity price shocks,
thereby obviating the need for unit root pretesting. Specifically, the procedures allow ...
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