Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence
Guglielmo Maria Caporale; Nikitas Pittis
| Year of publication: |
2004
|
|---|---|
| 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] |
| Extent: | 25 S |
|---|---|
| Series: | Reihe Ökonomie. - Wien : IHS, ISSN 1605-7996, ZDB-ID 2151044-1. - Vol. 157 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.ihs.ac.at/publications/eco/es-157.pdf |
| Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10002068644