residual-Based Tests for Cointegration in Models with Regime Shifts
Year of publication: |
1992-11
|
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Authors: | Gregory, Allan w. ; Hansen, Bruce E. |
Institutions: | Economics Department, Queen's University |
Subject: | level shift | regime shift | cointegration | Brownian motion |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 862 48 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models |
Source: |
-
residual-Based Tests for Cointegration in Models with Regime Shifts
w. Gregory, Allan, (1992)
-
Tests for Cointegration with Structural Breaks Based on Subsamples
Davidson, James, (2007)
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra, (2022)
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Residual-based tests for cointegration in models with regime shifts
Gregory, Allan W., (1996)
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Tests for Cointegration in Models with Regime and Trend Shifts
Gregory, Allan W., (1996)
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Residual-based tests for cointegration in models with regime shifts
Gregory, Allan W., (1996)
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