A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems
Takamitsu Kurita
| Year of publication: |
2019
|
|---|---|
| Authors: | Kurita, Takamitsu |
| Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 17.2019, 2, p. 251-270
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| Subject: | Cointegrated vector autoregressive systems | Adjustment coefficients | Sensitivity | Structural breaks | Spurious time-varying parameters | Recursive Monte Carlo experiments | Monte-Carlo-Simulation | Monte Carlo simulation | Kointegration | Cointegration | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40953-019-00162-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418663