ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN

Authors: Serena Ng ^a; Timothy J. Vogelsang ^b

Affiliations:	^a Department of Economics, Johns Hopkins University, Baltimore, Maryland
	^b Department of Economics, Cornell University, Ithaca, New York

DOI: 10.1081/ETC-120015788

Publication Frequency: 6 issues per year

Published in: journal

Econometric Reviews, Volume 21, Issue 3 January 2002 , pages 353 - 381

Subjects: Econometrics; Finance; Financial Mathematics; Statistics;

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