Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - In: Econometrics 9 (2021) 1, pp. 1-35
This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...