Structural breaks in cointegration models: Multivariate case

Anton Skrobotov ()

Applied Econometrics, 2021, vol. 64, 83-106

Abstract: This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.

Keywords: testing for cointegration; testing for cointegration rank; structural breaks; error correction model (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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