Residual-based tests for cointegration in models with regime shifts

Author:

Gregory Allan W.,Hansen Bruce E.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference31 articles.

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4. Recursive and sequential tests of the unit-root and trend-break hypotheses: Theory and international evidence;Banerjee;Journal of Business and Economic Statistics,1992

5. Convergence of probability measures;Billingsley,1968

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