A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market
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DOI: 10.1007/s00181-020-01916-1
Abstract: All tests involving both structural breaks and cointegration are parametric. As a complement to the classical hypothesis testing for empirical researchers, we suggest the use of a one-step model selection approach to simultaneously specifying lag… read more here.
Keywords: structural breaks; cointegration; model selection; breaks cointegration ... See more keywords