Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

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...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Kurita, T, Nielsen, B
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	MDPI 2019

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