We propose a consistent monitoring procedure to detect a
structural change from a cointegrating relationship to a spurious
relationship. The procedure is based on residuals from modified least
squares estimation, using either Fully Modified, Dynamic or Integrated
Modified OLS. It is inspired by Chu et al. (1996)
|Author||Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying paper.), Dominik Wied [aut] (Author of underlying paper.)|
|Date of publication||2016-06-14 20:34:46|
|Maintainer||Philipp Aschersleben <email@example.com>|
|Package repository||View on CRAN|
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