Testing for cointegration with threshold adjustment in the presence of structural breaks
نویسندگان
چکیده
منابع مشابه
Testing 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: Studies in Nonlinear Dynamics & Econometrics
سال: 2019
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2018-0034