Structural changes in the cointegrated vector autoregressive model
نویسندگان
چکیده
منابع مشابه
Structural Changes in the Cointegrated Vector Autoregressive
This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the test for m structural changes against m+ k structural changes (occurring at fixed points in time), m ∈ N...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2003
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00085-x