Cointegration analysis in the presence of outliers
Author:
Affiliation:
1. Institute of Economics, University of Copenhagen, Studiestræde 6, Copenhagen K, Denmark
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/7/1/249/25973401/ectj0249.pdf
Reference28 articles.
1. Joint estimation of model parameters and outlier effects in time series;Chen;Journal of the American Statistical Association,1993
2. Approximations to the asymptotic distribution of cointegration tests;Doornik;Journal of Economic Surveys,1998
3. Inference in cointegrating models: UK M1 revisited;Doornik;Journal of Economic Surveys,1998
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