Tests for cointegration with two unknown regime shifts with an application to financial market integration

Business & Economics

• Cointegration 100%
• Financial Market Integration 82%
• Regime Shift 72%
• Test Statistic 40%
• Residual-based Tests 30%
• Monte Carlo Simulation 29%
• Test Methods 28%
• Size Distortion 25%
• Simulation Methods 22%
• Critical Value 21%
• Economic Processes 21%
• Time Series Data 18%
• Structural Change 16%
• Financial Markets 14%
• Empirical Study 11%
• Integrated 11%
• United States of America 7%

Mathematics

• Cointegration 79%
• Financial Markets 72%
• Unknown 37%
• Test Statistic 24%
• Size Distortion 22%
• Structural Change 20%
• Time Series Data 17%
• Timing 16%
• Simulation Methods 16%
• Empirical Study 16%
• Critical value 13%
• Economics 12%
• Monte Carlo Simulation 12%

Social Sciences

• financial market 67%
• regime 40%
• simulation 15%
• statistics 14%
• time series 10%
• structural change 9%
• economics 4%
• literature 3%