Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Year of publication: |
2006
|
---|---|
Authors: | Trenkler, Carsten ; Saikkonen, Pentti ; Luetkepohl, Helmut |
Institutions: | Department of Economics, European University Institute |
Subject: | Cointegration | structural break | vector autoregressive process | error correction model |
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Testing for the cointegrating rank of a VAR process with level shift and trend break
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