Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/2563.
Length: 54 p.
Date of creation: 2000
Date of revision:
Publication status: Published in Oxford Bulletin of Economics and Statistics (2000) v. 62, p.23-52
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Web page: http://www.uc3m.es
Other versions of this item:
- Arranz, Miguel A & Escribano, Alvaro, 2000. " Cointegration Testing under Structural Breaks: A Robust Extended Error Correction Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 23-52, February.
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- Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January.
- Miguel Arranz & Alvaro Escribano, 2006.
"Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research,
Springer, vol. 15(1), pages 179-208, June.
- Arranz, Miguel A. & Escribano, Álvaro, 2006. "Bootstrapping Cointegration Tests Under Structural Co-Breaks: A Robust Extended ECM test," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2579, Universidad Carlos III de Madrid.
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