Tests for cointegration with structural breaks based on subsamples

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2498-2511

  Davidson, James ^a   Monticini, Andrea ^b  

^a UNIVERSITY OF EXETER   (United Kingdom)

^b UNIVERSITÀ CATTOLICA DEL SACRO CUORE   (Italy)

Author keywords

Brownian motion; Cointegration; Level shift; Regime shift

Indexed keywords

BROWNIAN MOTION; COINTEGRATION; CRITICAL VALUE; LEVEL SHIFT; MULTIPLE TESTING; REGIME SHIFT; STOCK PRICE; STRUCTURAL BREAK;

BROWNIAN MOVEMENT;

EID: 77955281519     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.01.028     Document Type: Article

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