The Effects of Ignoring Level Shifts on Systems Cointegration Tests
| Year of publication: |
2005
|
|---|---|
| Authors: | Carsten Trenkler* |
| Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 89.2005, 3, p. 281-301
|
| Publisher: |
Springer |
| Subject: | Cointegration | Level shift | Monte Carlo study |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Classification: | C32 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
| Source: |
Persistent link: https://www.econbiz.de/10005598061