Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values
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References listed on IDEAS
- Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
- Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- As Good as it Gets!
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-18 08:48:00
- Goodness-of-Fit Testing With Discrete, Circular, Data
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-16 03:27:00
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Stern, David I. & Enflo, Kerstin, 2013.
"Causality between energy and output in the long-run,"
Elsevier, vol. 39(C), pages 135-146.
- Stern, David & Enflo, Kerstin, 2013. "Causality Between Energy and Output in the Long-Run," Lund Papers in Economic History 126, Lund University, Department of Economic History.
- David I. Stern & Kerstin Enflo, 2013. "Causality Between Energy and Output in the Long-Run," CAMA Working Papers 2013-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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More about this item
KeywordsCointegration; structural breaks; trace test; p-values; critical values;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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