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Testing the null of cointegration in the presence of a structural break

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Author Info
Alan Bartley, William
Lee, Junsoo
Strazicich, Mark C.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V84-44D3WVV-8/2/5414ae1969b02bce09e9372b8b456089
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 73 (2001)
Issue (Month): 3 (December)
Pages: 315-323
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Handle: RePEc:eee:ecolet:v:73:y:2001:i:3:p:315-323

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  1. Westerlund, Joakim, 2005. "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers 2005:12, Lund University, Department of Economics.
  2. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
    Other versions:
  3. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003. "Breaking the panels. An application to the GDP per capita," Working Papers in Economics 97, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
    Other versions:
  4. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers 10, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
    Other versions:
  5. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
  6. Gluschenko, Konstantin, 2004. "Nonlinearly testing for a unit root in the presence of a break in the mean," MPRA Paper 678, University Library of Munich, Germany, revised Sep 2005. [Downloadable!]
  7. Anindya Banerjee & Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank. [Downloadable!]
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