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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Những tác giả chính:	Kurita, T, Nielsen, B
Định dạng:	Journal article
Ngôn ngữ:	English
Được phát hành:	MDPI 2019

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