This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms …

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms …

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case …-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt … derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic …

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case …-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt … derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic …