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
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DOI: 10.1007/s00362-002-0131-x

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