Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions

DOI10.1016/j.jeconom.2019.01.013zbMath1452.62619OpenAlexW2939339450WikidataQ128166985 ScholiaQ128166985MaRDI QIDQ2000873

Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf, Giovanni Urga

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.01.013

zbMATH Keywords

structural stabilityvector error correction modelsimulation based testmultiple hypotheses test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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