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Cointegration analysis in the presence of structural breaks in the deterministic trend

Johansen, Soren Et al

Cointegration analysis in the presence of structural breaks in the deterministic trend J5054 2000 - 2000 - 216-249 V. 03 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Break points;Cointegration;Common trend;Deterministic trend;Piecewise linear trend;Stochastic trend;Structural breaks;Vector autoregressive model;

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