Simulation experiments on the performance of structural change tests in cointegration

DOI10.1080/00949650601128198zbMath1145.62025OpenAlexW1965851828MaRDI QIDQ3527722

Sami Khedhiri

Publication date: 30 September 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650601128198

zbMATH Keywords

Monte Carlo simulationcointegrationstructural change

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Cites Work

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• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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