Cointegration rank switching model: an application to forecasting interest rates

DOI10.1002/for.1191zbMath1219.91107OpenAlexW2026440237MaRDI QIDQ3088167

Kosei Fukuda

Publication date: 19 August 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1191

zbMATH Keywords

model selectionterm structure of interest ratescointegrationinformation criterion

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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