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18.97.14.80
18.97.14.80
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Tests for Cointegration, Cobreaking and Cotrending in a System of Trending Variables
( Josep Lluis Carrion-i-silvestre ) , ( Dukpa Kim )
DOI 10.38162/JOME.47.1.7
UCI I410-ECN-0102-2018-300-004007812

We consider a set of variables with a deterministic trend and a stochastic trend. The deterministic trend is allowed to have changes in the intercept and slope. We develop three tests, a cointegration test, a joint test for cointegration and cobreaking, and a joint test for cointegration and cotrending. Our analysis in this paper is complementary to Carrion-i-Silvestre and Kim(2017), which deals with deterministic trends with intercept shifts only.

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