January 1996
·
4 Reads
·
72 Citations
Journal of Econometrics
What is this page?
This page lists works of an author who doesn't have a ResearchGate profile or hasn't added the works to their profile yet. It is automatically generated from public (personal) data to further our legitimate goal of comprehensive and accurate scientific recordkeeping. If you are this author and want this page removed, please let us know.
Publications (1)
Citations (1)
... The assumption of stability in the long-run relationships is not necessarily warranted either as "linkages may be time-varying and episodic". One proposal to account for the potential time-variance in co-integration studies has been suggested by Gregory & Hanson (1996), whose method detects structural breaks in the data, revealing support of long-run relationships not captured by static tests. According to Maddala & Kim (1998), Johansen's procedure is also highly sensitive to the assumption that errors are independent and normally distributed. ...
- Citing Article
January 1996
Journal of Econometrics