The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations (Q2255776)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations |
scientific article |
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The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations (English)
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18 February 2015
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cointegration
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threshold model
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structural breaks
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heteroskedastic variance
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empirical size
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