Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
Sign Up to like & getrecommendations! Published in 2017 at "Economic Modelling"
DOI: 10.1016/j.econmod.2016.11.004
Abstract: Economic data is typically subject to a number of different forms of structural breaks. Ignoring structural breaks in a model can lead to misspecification issues and false conclusions. This paper proposes a new Autoregressive Distributive… read more here.
Keywords: adl cointegration; structural breaks; breaks new; cointegration test ... See more keywords