A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-020-01916-1.pdf
Reference60 articles.
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3. Arestis P, Demetriades PO, Luintel KB. Financial development and economic growth: the role of stock markets. J Money Credit Bank. 2001;33:16–41.
4. Aznar A, Salvador M. Selecting the rank of cointegration space and the form of the intercept using an information criterion. Econom Theory. 2002;18:926–47.
5. Bai J. Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices. Ann Econ Finance. 2000;1:303–39.
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