Testing for Cointegration in Markov Switching Error Correction Models

DOI10.1108/S0731-905320140000033005zbMath1453.62617MaRDI QIDQ5133507

Liang Hu, Yongcheol Shin

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationsoptimal testsMarkov switching error correction modelsprice and dividend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02)

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