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  • Search: subject:"Subsample analysis"
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Year of publication
Subject
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Fractional Cointegration 2 Long Memory 2 Monte Carlo 2 Persistence Breaks 2 Structural Breaks 2 Subsample Analysis 2 Cointegration 1 Einheitswurzeltest 1 Estimation theory 1 Kointegration 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Schätztheorie 1 Structural break 1 Strukturbruch 1 Time series analysis 1 Unit root test 1 Zeitreihenanalyse 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Kreye, Tom Jannik 2
Published in...
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 1 Hannover Economic Papers (HEP) 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Testing for fractional cointegration in subsamples by allowing for structural breaks
Kreye, Tom Jannik - 2024
In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...
Persistent link: https://www.econbiz.de/10015182872
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Cover Image
Testing for fractional cointegration in subsamples by allowing for structural breaks
Kreye, Tom Jannik - 2024
In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...
Persistent link: https://www.econbiz.de/10015175368
Saved in:
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