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http://dx.doi.org/10.5351/CKSS.2011.18.4.495

Structural Change and Stability in a Long-Run Parameter  

Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.4, 2011 , pp. 495-505 More about this Journal
Abstract
This study performs statistical tests for stability of a long-run relationship in the telecommunication market system by identifying the time path of a recursively estimated cointegration parameter. A dummy variable is used to recover stability for the period that the hypothesis of stable cointegration is rejected, and then a proper cointegrating relation is derived. A dummy variable appears to reflect the structural change in the cointegrating relation according to the analytical results for the error correction term.
Keywords
Long-run parameter; recursive estimation; short-run dynamics;
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