Size and power of some cointegration tests under structural breaks and heteroskedastic noises

Höglund, Rune, Östermark, Ralf . Statistical Papers 2003. 44 (1) :1-22

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Bibtex

@article{CIS-187108,
  Author = {Höglund, Rune and Östermark, Ralf},
  Title = {Size and power of some cointegration tests under structural breaks and heteroskedastic noises},
  Journal = {Statistical Papers},
  Volume = {44},
  Number = {1},
  Year = {2003},
  Pages = {1--22},
  Keywords = {regime shifts, size distortions, common factor systems}
}

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