Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector autoregressions, and yet likelihood analysis is based on reduced rank regression using conventional...
Main Authors: | , |
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Format: | Journal article |
Language: | English |
Published: |
2009
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