New Improved Tests for Cointegration with Structural Breaks

By Joakim Westerlund, David L. Edgerton. 2007

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/464d2348cf1b647a40ed1b5eb00ba080336e5708

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Joakim Westerlund
2. Muhammad Shahbaz
3. Muntasir Murshed
4. Ilhan Ozturk
5. Avik Sinha
6. Sakiru Adebola Solarin
7. Afees A. Salisu
8. Paresh Kumar Narayan

In Finance

1. Joakim Westerlund
2. Afees A. Salisu
3. Paresh Kumar Narayan
4. Eyup Dogan
5. Ruhul Salim
6. Idris A. Adediran
7. Sikiru Abidemi Abdulsalam
8. Rangan Gupta

Citations in the corpus

• Panel cointegration tests of the Fisher effect (2006, background): “Thus, the power of tests that depend on estimating βi from the level data is expected to decrease with the number of regressors in a way that the power of the new tests is not, see Westerlund and Edgerton (2006).9 Remark 4.”