The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
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Publication:2345147
DOI10.1016/j.econlet.2014.09.009zbMath1311.62153OpenAlexW2062719886MaRDI QIDQ2345147
Publication date: 19 May 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.09.009
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
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