Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
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Publication:520400
DOI10.1007/s10260-014-0253-zzbMath1359.62062OpenAlexW2127850903MaRDI QIDQ520400
Publication date: 3 April 2017
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-014-0253-z
powercointegrationstructural changeGLS detrendingmodified information criteriaresidual based testssize distortions
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