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    CSDA
    2010
    80views more  CSDA 2010»
    Tests for cointegration with structural breaks based on subsamples
    15 years 16 days ago
    Tests for cointegration with structural breaks based on subsamples
    Download  people.exeter.ac.uk
    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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