The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break (Q2345147)
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scientific article; zbMATH DE number 6436824
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| English | The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break |
scientific article; zbMATH DE number 6436824 |
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The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break (English)
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19 May 2015
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time-varying cointegration
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Chebyshev time polynomials
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structural break
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FMLS-based CUSUM test
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0.8860531
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0.8781297
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0.8763546
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0.87467116
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0.87341523
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0.8707739
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