Tests for cointegration with structural breaks based on subsamples
نویسندگان
چکیده
منابع مشابه
Tests for cointegration with structural breaks based on subsamples
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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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2010
ISSN: 0167-9473
DOI: 10.1016/j.csda.2010.01.028