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    CSDA
    2010
    80views more  CSDA 2010»
    Tests for cointegration with structural breaks based on subsamples
    15 years 1 months 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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