Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/211829 
Erscheinungsjahr: 
1998
Schriftenreihe/Nr.: 
Bank of Finland Discussion Papers No. 29/1998
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends.These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations.A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for testing the correct specification of an employed nonlinear trend is developed.The methods are applied to Finnish interest rate data.A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data.The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of 'missing cointegration vector' found in a previous study.
Schlagwörter: 
cointegrated VAR model
gradual structural change
nonlinear deterministic trend
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
951-686-599-2
Dokumentart: 
Working Paper

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