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Structural Change and Stability in a Long-Run Parameter
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 Title & Authors
Structural Change and Stability in a Long-Run Parameter
Kim, Tae-Ho;
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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.
Long-run parameter;recursive estimation;short-run dynamics;
 Cited by
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