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INFERENCE ON THE SEASONALLY COINTEGRATED MODEL WITH STRUCTURAL CHANGES  

Song, Dae-Gun (Risk Management Division, Korea Exchange Bank)
Cho, Sin-Sup (Department of Statistics, Seoul National University)
Publication Information
Journal of the Korean Statistical Society / v.36, no.4, 2007 , pp. 501-522 More about this Journal
Abstract
We propose an estimation procedure that can be used for detecting structural changes in the seasonal cointegrated vector autoregressive model. The asymptotic properties of the estimates and the test statistics for the parameter change are provided. A simulation example is presented to illustrate this method and its concept.
Keywords
Seasonal cointegration; seasonal cointegration rank test; seasonal error correction model; structural change;
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