Outlier robust cointegration analysis
Year of publication: |
1997
|
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Authors: | Franses, Philip Hans ; Lucas, Andr‚ |
Institutions: | VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics |
Subject: | Robust estimation | unit roots | cointegration | outliers | structural breaks |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Serie Research memoranda / Vrije Universiteit Amsterdam. Faculteit der Economische Wetenschappen en Econometrie Number 0045 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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Outlier robust cointegration analysis
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