Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Year of publication: |
2019
|
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Authors: | Kurita, Takamitsu ; Nielsen, Bent |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 4, p. 1-35
|
Publisher: |
Basel : MDPI |
Subject: | cointegrating rank | deterministic terms | partial cointegrated vector autoregressive models | response surface | structural breaks | weak exogeneity |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics7040042 [DOI] 1689894466 [GVK] hdl:10419/247542 [Handle] |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C50 - Econometric Modeling. General |
Source: |
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Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Kurita, Takamitsu, (2019)
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Partial cointegrated vector autoregressive modelswith structural breaks in deterministic terms
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A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
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