Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
Author:
Affiliation:
1. AQR-IREA research group, Department of Econometrics, Statistics and Applied Economics, Faculty of Economics and Business, University of Barcelona, Barcelona, Spain;
2. Department of Economics, Korea University, Seoul, Korea
Funder
Spanish Ministerio de Ciencia e Innovación
National Research Foundation of Korea
Korean Government
Korea University
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2018.1528416
Reference51 articles.
1. Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
2. Testing for the Null Hypothesis of Cointegration with a Structural Break
3. Estimating and Testing Linear Models with Multiple Structural Changes
4. US deficit sustainability revisited: a multiple structural change approach
5. Nonparametric cointegration analysis
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