Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence
Year of publication: |
2004
|
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Authors: | Caporale, Guglielmo Maria ; Pittis, Nikitas |
Publisher: |
Wien : Inst. für Höhere Studien |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Kointegration | Cointegration | Statistischer Test | Statistical test | Strukturbruch | Structural break | Varianz | Korrelation |
Description of contents: | Table of Contents [gbv.de] |
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Caporale, Guglielmo Maria, (2004)
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Confidence sets for the break date in cointegrating regressions
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The BDS test as a test for the adequacy of a GARCH (1,1) specification: A Monte Carlo study
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Caporale, Guglielmo Maria, (2004)
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Selectivity, Market Timing and the Morningstar Star-Rating System
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