Cointegration analysis in the presence of structural breaks in the deterministic trend
Year of publication: |
2000
|
---|---|
Authors: | JOHANSEN, SØREN ; MOSCONI, ROCCO ; NIELSEN, BENT |
Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 3.2000, 2, p. 216-249
|
Publisher: |
Royal Economic Society - RES |
Subject: | Break points | Cointegration | Common trend | Deterministic trend | Piecewise linear trend | Stochastic trend | Structural breaks | Vector autoregressive model |
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