The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
Year of publication: |
2014
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Authors: | Neto, David |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 125.2014, 2, p. 208-211
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Subject: | Time-varying cointegration | Chebyshev time polynomials | Structural break | FMLS-based CUSUM test | Theorie | Theory | Strukturbruch | Kointegration | Cointegration | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis |
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