Showing 1 - 10 of 81
Persistent link: https://www.econbiz.de/10012283127
Persistent link: https://www.econbiz.de/10012504451
This paper studies issues related to the estimation of a structural change in the persistence of a univariate time series. The break is such that the process has a unit root [i.e., is I(1)] in the pre-break regime but reverts to a stationary [i.e., I(0)] process in the post-break regime or vice...
Persistent link: https://www.econbiz.de/10011041702
We study estimation and inference in cointegrated regression models with multiple structural changes allowing both stationary and integrated regressors. Both pure and partial structural change models are analyzed. We derive the consistency, rate of convergence and the limit distribution of the...
Persistent link: https://www.econbiz.de/10005285872
Persistent link: https://www.econbiz.de/10015053470
Persistent link: https://www.econbiz.de/10013539520
Persistent link: https://www.econbiz.de/10009949914
Persistent link: https://www.econbiz.de/10009513639
Persistent link: https://www.econbiz.de/10012192471
Persistent link: https://www.econbiz.de/10012273430