Combining p-values to test for multiple structural breaks in cointegrated regressions
Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf, Giovanni Urga
| Year of publication: |
2019
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|---|---|
| Authors: | Bergamelli, Michele ; Bianchi, Annamaria ; Khalaf, Lynda ; Urga, Giovanni |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 211.2019, 2, p. 461-482
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| Subject: | Multiple hypotheses test | Simulation based test | Structural stability | Vector error correction model | Kointegration | Cointegration | Simulation | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.01.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303823