Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices

Annals of Economics and Finance

Volumn 1, Issue 2, 2000, Pages 303-339

  Bai, Jushan ^a  

^a BOSTON COLLEGE   (United States)

Author keywords

BIC; Multiple change points; QMLE; Structural change; VAR

Indexed keywords

EID: 4544289079     PISSN: 15297373     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (17)

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