Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
David Harris, Stephen J. Leybourne, A.M. Robert Taylor
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Harris, David ; Leybourne, Stephen James ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 192.2016, 2, p. 451-467
|
| Subject: | Co-integration rank | Vector autoregression | Error-correction model | Trend break | Break point estimation | Information criteria | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Kointegration | Cointegration | Schätztheorie | Estimation theory | Strukturbruch | Structural break |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.02.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011704729