El efecto de los quiebres estructurales en la prueba de Engle-Granger para la cointegración

This paper extends Gonzalo and Lee’s (1998) results by studying the asymptotic and finite sample behavior of the Engle-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow breaks in level and slope of trend in both dependen...

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Autores principales:	Noriega, Antonio E., Ventosa Santaulária, Daniel
Formato:	Online
Idioma:	inglês
Editor:	El Colegio de México, A.C. 2012
Assuntos:	prueba Engle-Granger procesos integrados quiebres estructurales cointegración C22 C13 C12 Engle-Granger test integrated processes structural breaks cointegration
Acesso em linha:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/94
Recursos:	Estudios Económicos