A comparison between tests for changes in the adjustment coefficients in cointegrated systems

DOI10.1080/10629360600926958zbMath1367.62333OpenAlexW2076719339MaRDI QIDQ5457920

Guglielmo Maria Caporale, Marco R. Barassi, Stephen G. Hall

Publication date: 10 April 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://fordham.bepress.com/crif_seminar_series/4

zbMATH Keywords

Monte Carlo methodsstructural breakadjustment coefficientssequential test

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics in engineering and industry; control charts (62P30) Reliability and life testing (62N05)

Cites Work

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