The limit distribution of the estimates in cointegrated regression models with multiple structural changes

DOI10.1016/j.jeconom.2008.07.001zbMath1418.62334MaRDI QIDQ295697

Pierre Perron, Mohitosh Kejriwal

Publication date: 13 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.07.001

zbMATH Keywords

confidence intervals; cointegration; unit roots; change-point; break dates

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

Related Items

Inference about long run canonical correlations, The limit distribution of the estimates in cointegrated regression models with multiple structural changes, Estimating structural changes in regression quantiles, ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration, A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component

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