THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION
This paper extends Gonzalo and Lee¿s (1998) results by studying the asymptotic and finite sample behavior of the Engle-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow breaks in level and slope of trend in both dependen...
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| Udgivet i: | Estudios Económicos |
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| Principais autores: | , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
El Colegio de México, A.C.
2012
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| Fag: | |
| Online adgang: | https://www.redalyc.org/articulo.oa?id=59724371003 |
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