Testing for the cointegrating rank of a VAR process with level shift at unknown time
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- Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, vol. 72(2), pages 647-662, March.
References listed on IDEAS
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More about this item
KeywordsCointegration; structural break; vector autoregressive process; error correction model;
StatisticsAccess and download statistics
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