Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test

Miguel Arranz and Alvaro Escribano

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2006, vol. 15, issue 1, 179-208

Keywords: Bootstrap; structural breaks; cointegration testing; extended error correction model; co-breaks; 62M10; 91B84; 62F40; 82C80; 62F03; 62P20 (search for similar items in EconPapers)
Date: 2006
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Working Paper: Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:15:y:2006:i:1:p:179-208

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DOI: 10.1007/BF02595424

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