Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
Year of publication: |
2021
|
---|---|
Authors: | Schweikert, Karsten |
Published in: |
Journal of Time Series Analysis. - Oxford, UK : John Wiley & Sons, Ltd, ISSN 1467-9892. - Vol. 43.2021, 1, p. 83-104
|
Publisher: |
Oxford, UK : John Wiley & Sons, Ltd |
Subject: | Adaptive group lasso | change‐points | cointegration | model selection | US money demand |
-
Azar, Samih Antoine, (2018)
-
Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R., (2016)
-
The econometrics of the environmental Kuznets curve : an illustration using Australian CO2 emissions
Moosa, Imad A., (2017)
- More ...
-
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten, (2018)
-
Price regulations and price adjustment dynamics: Evidence from the Austrian retail fuel market
Fasoula, Evanthia, (2018)
-
Kuck, Konstantin, (2021)
- More ...