Break Date Estimation for Models with Deterministic Structural Change
نویسندگان
چکیده
منابع مشابه
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
In testing for the cointegrating rank of a vector autoregressive (VAR) process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modelled as a simple shift in the level of the process. Three alternative estimators for...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2013
ISSN: 0305-9049
DOI: 10.1111/obes.12037