Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle

DOI10.2202/1558-3708.1467zbMath1193.91116OpenAlexW2075848308MaRDI QIDQ3574711

Mohitosh Kejriwal

Publication date: 2 July 2010

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1467

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle, A two‐step procedure for testing partial parameter stability in cointegrated regression models, International mobility of capital in the United States: robust evidence from time-series tests, Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis, Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle