The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
Year of publication: |
2014
|
---|---|
Authors: | Neto, David |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 2, p. 208-211
|
Publisher: |
Elsevier |
Subject: | Time-varying cointegration | Chebyshev time polynomials | Structural break | FMLS-based CUSUM test |
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