Residual-based tests for cointegration in models with regime shifts (Q1906289)
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scientific article; zbMATH DE number 843655
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| English | Residual-based tests for cointegration in models with regime shifts |
scientific article; zbMATH DE number 843655 |
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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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0.9045441150665284
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0.8710247278213501
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0.8668786883354187
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0.86687833070755
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0.8634083867073059
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