Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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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)
  • Published : 2007.12.31
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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

References

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