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Persistent link: https://www.econbiz.de/10003369264
In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10012779948
In this paper we examine aggregate money demand relationships in five industrial countries using a two-step strategy for testing the null hypothesis of no cointegration against alternatives that are fractionally cointegrated. Fractional cointegration would imply that, although there exists a...
Persistent link: https://www.econbiz.de/10014060946