Cointegration tests in the presence of structural breaks
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Publication:1906293
DOI10.1016/0304-4076(94)01689-5zbMath0834.62083OpenAlexW2034287017MaRDI QIDQ1906293
Neil R. Ericsson, David F. Hendry, Julia Campos
Publication date: 8 April 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/ifdp/1993/440/ifdp440.pdf
stationary time seriesstructural breakcointegration testsmarginal processestimated error correction modelsrecursive Monte Carlo
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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