Arai, Y., and E. Kurozumi. 2007. “Testing for the Null Hypothesis of Cointegration with a Structural Break.” Econometric Reviews 26: 705–739.
Aue, A., and L. Horváth. 2013. “Structural Breaks in Time Series.” Journal of Time Series Analysis 34: 1–16.
Bachmeier, L. J., and J. M. Griffin. 2002. “New Evidence on Asymmetric Gasoline Price Responses.” Review of Economics and Statistics 85: 772–776.
Bacon, R. W. 1991. “Rockets and Feathers: The Asymmetric Speed of Adjustment of UK Retail Gasoline Prices to Cost Changes.” Energy Economics 13: 211–218.
Banerjee, A., J. J. Dolado, D. F. Hendry, and G. W. Smith. 1986. “Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence.” Oxford Bulletin of Economics and Statistics 48: 253–278.
- Billingsley, P. 1999. Convergence of Probability Measures. 2nd ed. New York: Wiley.
Paper not yet in RePEc: Add citation now
Borenstein, S., A. C. Cameron, and R. Gilbert. 1997. “Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes.” Quarterly Journal of Economics 112: 305–339.
Caner, M., and B. E. Hansen. 2001. “Threshold Autoregression with a Unit Root.” Econometrica 69: 1555–1596.
- Carrion-i Silvestre, J. L., and A. Sanso. 2006. “Testing for the Null Hypothesis of Cointegration with Structural Breaks.” Oxford Bulletin of Economics and Statistics 68: 623–646.
Paper not yet in RePEc: Add citation now
- Davidson, J., and A. Monticini. 2010. “Tests for Cointegration with Structural Breaks Based on Subsamples.” Computational Statistics and Data Analysis 54: 2498–2511.
Paper not yet in RePEc: Add citation now
Enders, W., and C. W. J. Granger. 1998. “Unit-Root Tests and Asymmetric Adjustment with an Example using the Term Structure of Interest Rates.” Journal of Business & Economic Statistics 16: 304–311.
Enders, W., and P. L. Siklos. 2001. “Cointegration and Threshold Adjustment.” Journal of Business & Economic Statistics 19: 166–176.
- Engle, R. F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation and Testing.” Econometrica 55: 251–276.
Paper not yet in RePEc: Add citation now
Frey, G., and M. Manera. 2007. “Econometric Models of Asymmetric Price Transmission.” Journal of Economic Surveys 21: 349–415.
Gregory, A. W., and B. E. Hansen. 1992. “Residual-based Tests for Cointegration in Models with Regime Shifts.” Queen’s Economics Department Working Paper 862: 1–32.
- Gregory, A. W., and B. E. Hansen. 1996a. “Residual-based Tests for Cointegration in Models with Regime Shifts.” Journal of Econometrics 70: 99–126.
Paper not yet in RePEc: Add citation now
Gregory, A. W., and B. E. Hansen. 1996b. “Tests for Cointegration in Models with Regime and Trend Shifts.” Oxford Bulletin of Economics and Statistics 58: 555–560.
Gregory, A. W., J. M. Nason, and D. G. Watt. 1996. “Testing for Structural Breaks in Cointegrated Relationships.” Journal of Econometrics 71: 321–341.
Harris, D., S. J. Leybourne, and A. M. R. Taylor. 2016. “Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.” Journal of Econometrics 192: 451–467.
Hatemi-J, A. 2008. “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration.” Empirical Economics 35: 497–505.
Kejriwal, M., and P. Perron. 2010. “Testing for Multiple Structural Changes in Cointegrated Regression Models.” Journal of Business & Economic Statistics 28: 503–522.
Kilian, L. 2016. “The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices.” Review of Environmental Economics and Policy 10: 185–205.
- Kurtz, T., and P. Protter. 1991. “Weak Limit Theorem for Stochastic Integrals and Stochastic Differential Equations.” The Annals of Probability 19: 1035–1070.
Paper not yet in RePEc: Add citation now
Lee, J., and M. C. Strazicich. 2003. “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks.” The Review of Economics and Statistics 85: 1082–1089.
- Lumsdaine, R. L., and D. H. Papell. 1997. “Multiple Trend Breaks and the Unit-Root Hypothesis.” The Review of Economics and Statistics 79: 212–218.
Paper not yet in RePEc: Add citation now
- Maki, D. 2012a. “Detecting Cointegration Relationships Under Nonlinear Models: Monte Carlo Analysis and Some Applications.” Empirical Economics 45: 605–625.
Paper not yet in RePEc: Add citation now
Maki, D. 2012b. “Tests for Cointegration Allowing for an Unknown Number of Breaks.” Economic Modelling 29: 2011–2015.
Maki, D., and S.-i. Kitasaka. 2015. “Residual-based Tests for Cointegration with Three-regime TAR Adjustment.” Empirical Economics 48: 1013–1054.
- Manning, D. N. 1991. “Petrol Prices, Oil Price Rises and Oil Price Falls: Some Evidence for the UK Since 1972.” Applied Economics 23: 1535–1541.
Paper not yet in RePEc: Add citation now
Meyer, J., and S. Cramon-Taubadel. 2004. “Asymmetric Price Transmission: A Survey.” Journal of Agricultural Economics 55: 581–611.
- Perdiguero, J. 2013. “Symmetric or Asymmetric Oil Prices? A Meta-analysis Approach.” Energy Policy 57: 389–397.
Paper not yet in RePEc: Add citation now
Perron, P. 1989. “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica 57: 1361–1401.
- Perron, P. 2006. “Dealing with Structural Breaks.” In Palgrave Handbook of Econometrics - Volume 1: Econometric Theory, edited by H. Hassani, T. Mills, and K. Patterson, 278–352. UK: Palgrave Macmillan.
Paper not yet in RePEc: Add citation now
Phillips, P. C. B., and S. N. Durlauf. 1986. “Multiple Time Series Regression with Integrated Processes.” Review of Economic Studies 53: 473–495.
- Phillips, P. C. B., and V. Solo. 1992. “Asymptotics for Linear Processes.” The Annals of Statistics 20: 971–1001.
Paper not yet in RePEc: Add citation now
Pippenger, M. K., and G. E. Goering. 2000. “Additional Results on the Power of Unit Root and Cointegration Tests under Threshold Processes.” Applied Economics Letters 7: 641–644.
- Said, S. E., and D. A. Dickey. 1984. “Testing for Unit Roots in Autoregressive-moving Average Models of Unknown Order.” Biometrika 71: 599–607.
Paper not yet in RePEc: Add citation now
Seo, M. H. 2008. “Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-Based Block Bootstrap.” Econometric Theory 24: 1699–1716.
- Tong, H. 1983. Threshold Models in Non-linear Time Series Analysis. New York: Springer.
Paper not yet in RePEc: Add citation now
- Tong, H. 1990. Non-linear Time Series: A Dynamical System Approach. Oxford: Oxford University Press.
Paper not yet in RePEc: Add citation now
Westerlund, J., and D. L. Edgerton. 2007. “New Improved Tests for Cointegration with Structural Breaks.” Journal of Time Series Analysis 28: 188–224.
- Zivot, E., and D. W. K. Andrews. 1992. “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis.” Journal of Business & Economic Statistics 10: 251–270.
Paper not yet in RePEc: Add citation now