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...
| Hauptverfasser: | , |
|---|---|
| Format: | Journal article |
| Sprache: | English |
| Veröffentlicht: |
MDPI
2019
|