Confidence Sets for the Break Date in Cointegrating Regressions

Eiji Kurozumi, 英司 黒住 and Anton Skrobotov ()

No 2016-07, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Confidence interval; structural change; cointegration; Russian economy; oil price (search for similar items in EconPapers)
JEL-codes: C12 C21 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2016-09
New Economics Papers: this item is included in nep-cis, nep-ecm, nep-ene and nep-ets
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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/28144/070econDP16-07.pdf

Related works:
Journal Article: Confidence Sets for the Break Date in Cointegrating Regressions (2018)
Working Paper: Confidence Sets for the Break Date in Cointegrating Regressions (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2016-07

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