EconPapers    
Economics at your fingertips  
 

Size and power of some cointegration tests under structural breaks and heteroskedastic noise

Rune Höglund and Ralf Östermark

Statistical Papers, 2003, vol. 44, issue 1, 22 pages

Keywords: power; size distortions; cointegration; common factor systems; regime shifts (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00362-002-0131-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:44:y:2003:i:1:p:1-22

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-002-0131-x

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).

 
Page updated 2024-12-28
Handle: RePEc:spr:stpapr:v:44:y:2003:i:1:p:1-22