Tests for Cointegration Breakdown Over a Short Time Period

By Donald W. K. Andrews, Jae-Young Kim. 2006

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/973ddc50ac0030a3277d4cfa5d467c3a8fc8da83

How researchers see this paper

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In Economics and Econometrics

1. Robert K. Kaufmann
2. S. Sorrell

In Statistics and Probability

1. Robert K. Kaufmann

Citations in the corpus

• The role of market fundamentals and speculation in recent price changes for crude oil (2011, methodology): “To test for a break down in the long-run cointegrating relationship between the five month contract for WTI and the spot price for Dubai-Fateh, I use a test statistic developed by Andrews and Kim (2006): R¼ XTþm t ¼ Tþ1 XTþm s ¼ t m̂t !”