Testing for the cointegrating rank of a VAR process with level shift at unknown time
Year of publication: |
2001
|
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Authors: | Lütkepohl, Helmut ; Saikkonen, Pentti ; Trenkler, Carsten |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | Cointegration | structural break | vector autoregressive process | error correction model |
Series: | SFB 373 Discussion Paper ; 2001,63 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 725571888 [GVK] hdl:10419/62759 [Handle] RePEc:zbw:sfb373:200163 [RePEc] |
Source: |
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