Open AccessCointegration Tests in the Presence of Structural Breaks
Author(s) -
Jesús Campos,
Neil R. Ericsson,
David F. Hendry
Publication year - 1993
Publication title -
international finance discussion papers
Language(s) - English
Resource type - Journals
eISSN - 2767-4509
pISSN - 1073-2500
DOI - 10.17016/ifdp.1993.440
Subject(s) - cointegration , unit root , monte carlo method , econometrics , structural break , series (stratigraphy) , stationary process , mathematics , augmented dickey–fuller test , statistics , paleontology , biology