Cointegration testing under structural change: reducing size distortions and improving power of residual based tests

DOI10.1007/s10260-014-0253-zzbMath1359.62062OpenAlexW2127850903MaRDI QIDQ520400

Marco Morales

Publication date: 3 April 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-014-0253-z

zbMATH Keywords

powercointegrationstructural changeGLS detrendingmodified information criteriaresidual based testssize distortions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

Cites Work

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