 | Assistant Professor of Economics, Purdue University Verified email at purdue.edu Cited by 110 |
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 ...
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 ...
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 ...
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 ...
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 ...
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) ...
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.
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
Create email alert
About Google Scholar - All About Google - My Citations
©2012 Google