Structural breaks in cointegration models

Структурные сдвиги в моделях коинтеграции

Skrobotov, Anton (Скроботов, Антон)
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Skrobotov, Anton (Скроботов, Антон): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This review discusses methods of testing for a cointegration in a time series in the presence of structural breaks. The review covers a large number of recently developed testing methods based on both one equation and multiple equation frameworks. In addition, various methods for estimating the dating of break dates and constructing of their confidence intervals are presented. In addition, nonlinear cointegration methods with regime swithings are considered.

Keywords: testing for cointegration; testing for cointegration rank; structural breaks; error correction model (search for similar items in EconPapers)
Pages: 38 pages
Date: 2021-11-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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