Testing for multiple structural changes in cointegrated regression models

Journal of Business and Economic Statistics

Volumn 28, Issue 4, 2010, Pages 503-522

  Kejriwal, Mohitosh ^a   Perron, Pierre ^b  

^a PURDUE UNIVERSITY   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

Change point; Cointegration; Sequential procedure; Unit root; Wald test

Indexed keywords

EID: 77954145618     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.07220     Document Type: Article

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