Efficient estimation and inference in cointegrating regressions with structural change

Journal of Time Series Analysis

Volumn 28, Issue 4, 2007, Pages 545-575

  Kurozumi, Eiji ^a   Arai, Yoichi ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Canonical cointegrating regression; Cointegration; Estimation; Single equation; Statistical inference; Structural change

Indexed keywords

EID: 34250667450     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00524.x     Document Type: Article

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