Cointegration Analysis in the Presence of Outliers
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References listed on IDEAS
- Edward Morey & Kathleen Greer Rossmann, 2003. "Using Stated-Preference Questions to Investigate Variations in Willingness to Pay for Preserving Marble Monuments: Classic Heterogeneity, Random Parameters, and Mixture Models," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 27(3), pages 215-229, November.
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- Hans Christian Kongsted & Heino Bohn Nielsen, 2004. "Analysing I(2) Systems by Transformed Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 379-397, July.
More about this item
Keywordscointegrated VAR; innovational outlier; additive outlier; dummy variables; Monte Carlo;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-02 (All new papers)
- NEP-ECM-2003-04-04 (Econometrics)
- NEP-ETS-2003-04-02 (Econometric Time Series)
- NEP-RMG-2003-04-02 (Risk Management)
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