PL EN


2005 | 52 | 2 | 73-83
Article title

TEST PROCEDURES FOR COINTEGRATION TN MODELS WITH REGIME AND OTHER STRUCTURAL SHIFTS IN THE CONDITIONAL PROCESS. A GENERALIZATION

Authors
Title variants
Languages of publication
EN
Abstracts
EN
The paper generalizes some cointegration tests in the case of known and unknown timing regime and other possible structural (such as level and/or time) shifts in the conditional equation. These tests are based on the Engle-Granger's procedure (CDF) and on the estimated error correction model (ECW). Taking into account requirements of the 'general to specific modelling', we allow for appearance of any fixed number of marginal equations. Consequently our response surface equation includes, apart from typical regressors, also the number of marginal equations. Therefore we are able to calculate the critical values of the considered tests in the case of any finite number of these equations
Year
Volume
52
Issue
2
Pages
73-83
Physical description
Document type
ARTICLE
Contributors
author
  • K. Krauze, Akademia Morska, Katedra Zarzadzania, ul. Morska 81/87, 81-225 Gdynia, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
05PLAAAA0038930
YADDA identifier
bwmeta1.element.70509221-4bf8-311e-a701-373ed8c9bb5c
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