Residual-based tests for cointegration in models with regime shifts
type: Item
instance of: scholarly article
title: Residual-based tests for cointegration in models with regime shifts
zbMATH Open document ID: 0834.62082
DOI: 10.1016/0304-4076(69)41685-7
author: Allan W. Gregory
author: Bruce E. Hansen
published in: Journal of Econometrics
publication date: 1996-04-08T00:00:00Z
full work available at URL: qed wp 862.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M99
zbMATH DE Number: 843655
zbMATH Keywords: Brownian motion
zbMATH Keywords: critical values
zbMATH Keywords: tests for cointegration
zbMATH Keywords: regime shifts
zbMATH Keywords: limiting distributions
zbMATH Keywords: simulation
zbMATH Keywords: Monte Carlo
zbMATH Keywords: finite-sample performance
zbMATH Keywords: intercept
zbMATH Keywords: slope
zbMATH Keywords: ADF test
zbMATH Keywords: structural breaks
zbMATH Keywords: long-run money-demand equation
Wikidata QID: Q60638329
MaRDI profile type: Publication
OpenAlex ID: W1972956294
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description: scientific article; zbMATH DE number 843655