Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing


Trenkler, Carsten ; Lütkepohl, Helmut ; Saikkonen, Pentti



Document Type: Article
Year of publication: 2006
The title of a journal, publication series: Econometric Theory
Volume: 22
Issue number: 1
Page range: 15-68
Place of publication: Cambridge
Publishing house: Cambridge Univ. Press
ISSN: 0266-4666
Publication language: English
Institution: School of Law and Economics > VWL, Empirische Wirtschaftsforschung (Trenkler)
Subject: 330 Economics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Trenkler, Carsten ; Lütkepohl, Helmut ; Saikkonen, Pentti (2006) Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing. Econometric Theory Cambridge 22 1 15-68 [Article]


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