Separate cointegration in a VAR system subject to structural breaks

DOI10.1016/J.ECONLET.2019.03.013zbMath1418.62497OpenAlexW2921494134MaRDI QIDQ2419890

Takamitsu Kurita

Publication date: 4 June 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.03.013

zbMATH Keywords

vector autoregressive (VAR) modelsdeterministic breaksseparate cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Multivariate modelling of non-stationary economic time series
• Statistical analysis of cointegration vectors
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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