- Tytuł:
- Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case
- Autorzy:
-
Majsterek, Michał
Gosińska, Emilia - Powiązania:
- https://bibliotekanauki.pl/articles/2075267.pdf
- Data publikacji:
- 2020
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
structural change
DGP
cointegration
VAR model - Opis:
- The paper analyses the consequences of structural change in the presence of non-stationary stochastic processes I(1) or I(2). The structural change may concern the deterministic structure (in particular, the trend and the constant term) as well as the process generating the stochastic part. The focus of the paper is on the case of a discrete change in a regime for which the moment of switch is known. A change in the deterministic part does not alter the character of the cointegration relationships but its consequences for cotrending and cobreaking are interesting. The consequences of a change in the stochastic part are more complex, because then the stochastic process as well as the deterministic structure of the VECM are modified. The restrictions are analysed for both cases.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2020, 4; 317-345
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł