Residual-based tests for cointegration in models with regime shifts (Q1906289): Difference between revisions

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Latest revision as of 10:38, 24 May 2024

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Residual-based tests for cointegration in models with regime shifts
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    Residual-based tests for cointegration in models with regime shifts (English)
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    8 April 1996
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    Brownian motion
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    critical values
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    tests for cointegration
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    regime shifts
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    limiting distributions
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    simulation
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    Monte Carlo
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    finite-sample performance
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    intercept
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    slope
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    ADF test
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    structural breaks
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    long-run money-demand equation
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