The limit distribution of the estimates in cointegrated regression models with multiple structural changes

DOI10.1016/j.jeconom.2008.07.001zbMath1418.62334MaRDI QIDQ295697

Mohitosh Kejriwal, Pierre Perron

Publication date: 13 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.07.001

zbMATH Keywords

confidence intervals; cointegration; unit roots; change-point; break dates

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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