End-of-Sample Cointegration Breakdown Tests
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- Donald W.K. Andrews & Jae-Young Kim, 2004. "End-of-Sample Cointegration Breakdown Tests," Yale School of Management Working Papers ysm344, Yale School of Management.
- Donald Andrews & Jae-Young Kim, 2004. "End-of-Sample Conintegratio Breakdown Tests," Econometric Society 2004 Far Eastern Meetings 795, Econometric Society.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carstensen, Kai & Gern, Klaus-Jürgen & Kamps, Christophe & Scheide, Joachim, 2003.
"Euroland: Stagnation wird allmählich überwunden,"
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More about this item
KeywordsCointegration; Least squares estimator; Model breakdown; Parameter change test; Structural change;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-25 (All new papers)
- NEP-ECM-2003-03-25 (Econometrics)
- NEP-ETS-2003-03-25 (Econometric Time Series)
- NEP-IFN-2003-03-25 (International Finance)
- NEP-RMG-2003-03-25 (Risk Management)
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