Cointegration tests in the presence of structural breaks
نویسندگان
چکیده
منابع مشابه
Simple Tests for Cointegration in Dependent Panels with Structural Breaks∗
This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...
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This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the approach is to formalize the practice of data snooping by practitioners, who may examine subsamples after failing to nd a predicted cointegrating relationship. Valid critical values for such multiple testing situations ...
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در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است
15 صفحه اولTesting for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values
Contact author: David E. Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; Phone: (250) 721-8540; FAX: (250) 721-6214 Abstract Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modifie...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1996
ISSN: 0304-4076
DOI: 10.1016/0304-4076(94)01689-5