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    CSDA
    2010
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    Tests for cointegration with structural breaks based on subsamples
    13 years 5 months ago
    Tests for cointegration with structural breaks based on subsamples
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    This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the ap...
    James Davidson, Andrea Monticini
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