Monte Carlo tests of cointegration with structural breaks

DOI10.1108/03684920010346347zbMath1011.62094OpenAlexW2054268019MaRDI QIDQ2776857

Rune Höglund, Ralf Oestermark

Publication date: 9 June 2003

Published in: Kybernetes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/03684920010346347

zbMATH Keywords

regime shiftspowersizecointegration tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Residual-based tests for cointegration in models with regime shifts
• Tests for cointegration. A Monte Carlo comparison
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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