Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35
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...
