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Structural changes in the cointegrated vector autoregressive model · Study

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ArticleStructural changes in the cointegrated vector autoregressive model

Peter Reinhard Hansen2003

Article2003

Structural changes in the cointegrated vector autoregressive model

Peter Reinhard Hansen

180 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 2012The Econometrics of Financial Markets 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1996Residual-based tests for cointegration in models with regime shifts 1987Cointegration and Tests of Present Value Models 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

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Year2003

Typearticle

Published2003-04-23

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations180

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(03)00085-x

openalex_workW2090961561

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