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Testing for cointegration in the presence of mis-specified structural change

✍ Scribed by Steven Cook


Book ID
108267331
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
406 KB
Volume
76
Category
Article
ISSN
0167-7152

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Testing for (common) stochastic trends i
✍ Fabio Busetti πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 199 KB πŸ‘ 2 views

## Abstract This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate locally best invariant test and the common trend test of Nyblom and Ha