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...

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Bibliographic Details
Main Authors: Kurita, T, Nielsen, B
Format: Journal article
Language:English
Published: 2009