Multiple structural breaks in cointegrating regressions: a model selection approach

DOI10.1515/snde-2020-0063OpenAlexW3155362290MaRDI QIDQ2700541

Yanyan Li

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0063

zbMATH Keywords

cointegrationpurchasing power paritystructural breakspenalized estimationadaptive lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Statistics (62-XX) Economic time series analysis (91B84) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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