Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10001739950
Persistent link: https://www.econbiz.de/10002707848
Persistent link: https://www.econbiz.de/10002707940
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...
Persistent link: https://www.econbiz.de/10014088397