Standard

Структурные сдвиги в моделях коинтеграции. / Skrobotov, Anton.

в: Applied Econometrics, Том 63, 2021, стр. 117-141.

Результаты исследований: Научные публикации в периодических изданиях › Обзорная статья › Рецензирование

Harvard

Skrobotov, A 2021, 'Структурные сдвиги в моделях коинтеграции', Applied Econometrics, Том. 63, стр. 117-141. https://doi.org/10.22394/1993-7601-2021-63-117-141

APA

Skrobotov, A. (2021). Структурные сдвиги в моделях коинтеграции. Applied Econometrics, 63, 117-141. https://doi.org/10.22394/1993-7601-2021-63-117-141

Vancouver

Skrobotov A. Структурные сдвиги в моделях коинтеграции. Applied Econometrics. 2021;63:117-141. https://doi.org/10.22394/1993-7601-2021-63-117-141

Author

Skrobotov, Anton. / Структурные сдвиги в моделях коинтеграции. в: Applied Econometrics. 2021 ; Том 63. стр. 117-141.

BibTeX

@article{27f8a3b3f4444a93879977fbe2a700a0,
title = "Структурные сдвиги в моделях коинтеграции",
abstract = "This review discusses methods of testing for a cointegration in a time series in the presence of structural breaks. The review covers a large number of recently developed testing methods based on both one equation and multiple equation frameworks. In addition, various methods for estimating the dating of break dates and constructing of their confidence intervals are presented. In addition, nonlinear cointegration methods with regime switching are considered.",
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 = "10.22394/1993-7601-2021-63-117-141",
language = "русский",
volume = "63",
pages = "117--141",
journal = "ПРИКЛАДНАЯ ЭКОНОМЕТРИКА",
issn = "1993-7601",
publisher = "СИНЕРГИЯ",

}

RIS

TY - JOUR

T1 - Структурные сдвиги в моделях коинтеграции

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 in a time series in the presence of structural breaks. The review covers a large number of recently developed testing methods based on both one equation and multiple equation frameworks. In addition, various methods for estimating the dating of break dates and constructing of their confidence intervals are presented. In addition, nonlinear cointegration methods with regime switching are considered.

AB - This review discusses methods of testing for a cointegration in a time series in the presence of structural breaks. The review covers a large number of recently developed testing methods based on both one equation and multiple equation frameworks. In addition, various methods for estimating the dating of break dates and constructing of their confidence intervals are presented. In addition, nonlinear cointegration methods with regime switching are considered.

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=85120374707&partnerID=8YFLogxK

U2 - 10.22394/1993-7601-2021-63-117-141

DO - 10.22394/1993-7601-2021-63-117-141

M3 - Обзорная статья

AN - SCOPUS:85120374707

VL - 63

SP - 117

EP - 141

JO - ПРИКЛАДНАЯ ЭКОНОМЕТРИКА

JF - ПРИКЛАДНАЯ ЭКОНОМЕТРИКА

SN - 1993-7601

ER -

ID: 92208056