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

Journal of Econometrics

Volumn 146, Issue 1, 2008, Pages 59-73

  Kejriwal, Mohitosh ^a   Perron, Pierre ^b  

^a PURDUE UNIVERSITY   (United States)

^b Boston University   (United States)

Author keywords

Break dates; Change point; Cointegration; Confidence intervals; Unit roots

Indexed keywords

ASYMPTOTIC ANALYSIS; FINANCIAL DATA PROCESSING; FOOD PROCESSING; MATHEMATICAL MODELS; REGRESSION ANALYSIS; SULFIDE MINERALS; TIME SERIES ANALYSIS;

ASYMPTOTIC APPROXIMATIONS; BREAK DATES; CHANGE-POINT; COINTEGRATION; CONFIDENCE INTERVALS; ENDOGENEITY; EQUATIONS SYSTEM; FINITE SAMPLES; LIMIT DISTRIBUTIONS; LINEAR MODELING; MULTIVARIATE TIME SERIES; NON-STATIONARY; RATE OF CONVERGENCE; REGRESSION MODELLING; SINGLE EQUATION; STRUCTURAL CHANGES; TECHNICAL CONDITIONS; UNIT ROOTS;

ESTIMATION;

EID: 52149095175     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.07.001     Document Type: Article

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