On the usability of the fluctuation test statistic to identify multiple cointegration break points

DOI10.1080/02664763.2015.1117587OpenAlexW2262893416MaRDI QIDQ5138109

Alexander Ludwig

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2015.1117587

zbMATH Keywords

cointegrationrecursive estimationstructural breaksbond marketscointegration breakdown test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Testing for Multiple Structural Changes in Cointegrated Regression Models
• Some tests for parameter constancy in cointegrated VAR‐models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Increasing convergence among European stock markets?: A recursive common stochastic trends analysis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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