Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
This paper addresses the question of whether a conventional approach to cointegration is applicable to the case where changes are allowed in the parameters for the short term dynamics. We reparametrise a vector autoregressive model such that the short-run parameters exhibiting changes at known point...
| Päätekijät: | , |
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| Aineistotyyppi: | Working paper |
| Kieli: | English |
| Julkaistu: |
Nuffield College (University of Oxford)
2004
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