Separate cointegration in a VAR system subject to structural breaks
Year of publication: |
2019
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Authors: | Kurita, Takamitsu |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 179.2019, p. 19-23
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Subject: | Deterministic breaks | Separate cointegration | Vector autoregressive (VAR) models | Kointegration | Cointegration | VAR-Modell | VAR model | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
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