Blar i Statistisk sentralbyrås publikasjonsserier / Published by Statistics Norway på emneord "Vector autoregressive"
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Identifying structural breaks in cointegrated VAR models
(Discussion Papers;No. 422, Working paper, 2005)Abstract: The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of ...