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Структурные сдвиги в моделях коинтеграции : многомерный случай. / Skrobotov, Anton.

In: Applied Econometrics, Vol. 64, 2021, p. 83-106.

Research output: Contribution to journal › Review article › peer-review

Harvard

Skrobotov, A 2021, 'Структурные сдвиги в моделях коинтеграции: многомерный случай', Applied Econometrics, vol. 64, pp. 83-106. https://doi.org/10.22394/1993-7601-2021-64-83-106

APA

Skrobotov, A. (2021). Структурные сдвиги в моделях коинтеграции: многомерный случай. Applied Econometrics, 64, 83-106. https://doi.org/10.22394/1993-7601-2021-64-83-106

Vancouver

Skrobotov A. Структурные сдвиги в моделях коинтеграции: многомерный случай. Applied Econometrics. 2021;64:83-106. https://doi.org/10.22394/1993-7601-2021-64-83-106

Author

Skrobotov, Anton. / Структурные сдвиги в моделях коинтеграции : многомерный случай. In: Applied Econometrics. 2021 ; Vol. 64. pp. 83-106.

BibTeX

@article{a409e988b8cc4f9f985866dbe1550361,
title = "Структурные сдвиги в моделях коинтеграции: многомерный случай",
abstract = "This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.",
keywords = "Error correction model, Structural breaks, Testing for cointegration, Testing for cointegration rank",
author = "Anton Skrobotov",
note = "Publisher Copyright: {\textcopyright} 2021 Sinergia Press. All rights reserved.",
year = "2021",
doi = "10.22394/1993-7601-2021-64-83-106",
language = "русский",
volume = "64",
pages = "83--106",
journal = "ПРИКЛАДНАЯ ЭКОНОМЕТРИКА",
issn = "1993-7601",
publisher = "СИНЕРГИЯ",

}

RIS

TY - JOUR

T1 - Структурные сдвиги в моделях коинтеграции

T2 - многомерный случай

AU - Skrobotov, Anton

N1 - Publisher Copyright: © 2021 Sinergia Press. All rights reserved.

PY - 2021

Y1 - 2021

N2 - This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.

AB - This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.

KW - Error correction model

KW - Structural breaks

KW - Testing for cointegration

KW - Testing for cointegration rank

UR - http://www.scopus.com/inward/record.url?scp=85123167874&partnerID=8YFLogxK

U2 - 10.22394/1993-7601-2021-64-83-106

DO - 10.22394/1993-7601-2021-64-83-106

M3 - Обзорная статья

AN - SCOPUS:85123167874

VL - 64

SP - 83

EP - 106

JO - ПРИКЛАДНАЯ ЭКОНОМЕТРИКА

JF - ПРИКЛАДНАЯ ЭКОНОМЕТРИКА

SN - 1993-7601

ER -

ID: 92208108