INFERENCE ON SEGMENTED COINTEGRATION
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Publication:4561973
DOI10.1017/S0266466603194078zbMath1441.62773OpenAlexW2012215390MaRDI QIDQ4561973
Publication date: 14 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603194078
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
- Understanding spurious regressions in econometrics
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Testing a time series for difference stationarity
- Residual-based tests for cointegration in models with regime shifts
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- Testing for a unit root in time series regression
- Testing For and Dating Common Breaks in Multivariate Time Series
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
- Threshold Cointegration
- Dynamic Econometrics
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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