cointsmall (Q7369330)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Cointegration Tests with Structural Breaks in Small Samples
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | cointsmall |
Cointegration Tests with Structural Breaks in Small Samples |
Statements
Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) <https://ideas.repec.org/p/ema/worpap/2022-01.html>. Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with the size-corrected 5% critical values of the response surfaces in Trinh (2022), for up to three regressors.
0 references
28 September 2026
0 references
