Structural Changes in Nonstationary Time Series Econometrics
Martins, Luis Filipe
Revision with unchanged content. It is unrealistic to conceive that economic variables or relationships follow a statistical law in which moments or parameters are kept constant over time. The focus of this book is on model specification and testing of time series that are subject to gradual or sudden structural changes in a nonstationary context. In the multivariate setting, we propose a time varying error cor-rection model in which the coint...