Cointegration testing under structural change: reducing size distortions and improving power of residual based tests (Q520400)
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scientific article; zbMATH DE number 6699682
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| English | Cointegration testing under structural change: reducing size distortions and improving power of residual based tests |
scientific article; zbMATH DE number 6699682 |
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Cointegration testing under structural change: reducing size distortions and improving power of residual based tests (English)
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3 April 2017
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cointegration
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structural change
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residual based tests
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size distortions
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power
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GLS detrending
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modified information criteria
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0.8391752243041992
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0.8391042351722717
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0.8380440473556519
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0.8265873789787292
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0.8259297013282776
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