Test for partial parameter instability in regressions with \(I(1)\) processes
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Publication:1305645
DOI10.1016/S0304-4076(98)00005-0zbMath0942.62104WikidataQ126527820 ScholiaQ126527820MaRDI QIDQ1305645
Publication date: 21 August 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Brownian motioncointegrationlimiting distributionfully modified estimatorLagrange multiplier-type testssubset test
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)
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