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...
| Hlavní autoři: | , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
MDPI
2019
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