Break date estimation for VAR processes with level shift with an application to cointegration testing
Pentti Saikkonen, Helmut Lütkepohl and Carsten Trenkler
| Year of publication: |
2006
|
|---|---|
| Authors: | Saikkonen, Pentti ; Lütkepohl, Helmut ; Trenkler, Carsten |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 22.2006, 1, p. 15-68
|
| Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Theorie | Theory | Ranking-Verfahren | Ranking method |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003272608