Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Autor: Takamitsu Kurita, Bent Nielsen

Publikováno v: Econometrics, Vol 7, Iss 4, p 42 (2019)

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 innovat

Externí odkaz: https://doaj.org/article/e5279a1420c942c9aee8f193af5a89ed

The cointegrated vector autoregressive model with general deterministic terms

Autor: Morten Ørregaard Nielsen, Søren Johansen

Publikováno v: Johansen, S & Nielsen, M Ø 2018, ' The cointegrated vector autoregressive model with general deterministic terms ', Journal of Econometrics, vol. 202, no. 2, pp. 214-229 . https://doi.org/10.1016/j.jeconom.2017.10.003
University of Copenhagen

In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X t = γ Z t +

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c4cbf0f8f45b33189e3a58d53aaa29a
https://pure.au.dk/portal/da/publications/the-cointegrated-vector-autoregressive-model-with-general-deterministic-terms(2d3683e9-843f-4fe6-a8bb-45b5b35b53b7).html

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The Asymptotic Distribution of the Test for Cointegrating Rank

Autor: Johansen, Søren, author

Publikováno v: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, 1995.

Externí odkaz: https://doi.org/10.1093/0198774508.003.0011

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