Size and power of some cointegration tests under structural breaks and heteroskedastfc noise

DOI10.1007/s00362-002-0131-xzbMath1010.62084MaRDI QIDQ1871698

Rune Höglund, Ralf Oestermark

Publication date: 4 May 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0131-x

zbMATH Keywords

regime shifts; power; cointegration; size distortions; common factor systems

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

Related Items

The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations

Cites Work

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