Adapting Johansen’s Estimation Method for Flexible Regime-dependent Cointegration Modelling
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8905, Michigan State - Econometrics and Economic Theory.
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2002 International Congress, August 28-31, 2002, Zaragoza, Spain
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- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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