Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift

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Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift

SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, Carsten
Title: Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
Author: SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, Carsten
Date: 2004
Publisher: European University Institute
Series/Report no.: EUI ECO; 2004/21
URI: http://hdl.handle.net/1814/2801

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  • ECO Working Papers
    Working Papers of the Economics Department of the EUI. ISSN 1725-6704