Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial quasi-lik...

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Bibliographic Details
Main Authors: Takamitsu Kurita, Bent Nielsen
Format: Article
Language:English
Published: MDPI AG 2019-10-01
Series:Econometrics
Subjects:
partial cointegrated vector autoregressive models
structural breaks
deterministic terms
weak exogeneity
cointegrating rank
response surface
Online Access:https://www.mdpi.com/2225-1146/7/4/42

Internet

https://www.mdpi.com/2225-1146/7/4/42

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