Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
Sign Up to like & getrecommendations! Published in 2019 at "Econometric Reviews"
DOI: 10.1080/07474938.2018.1528416
Abstract: Abstract We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under… read more here.
Keywords: test determine; determine whether; linear trends; trends eliminated ... See more keywords