Cointegration analysis in the presence of structural breaks in the deterministic trend

Soren Johansen, Rocco Mosconi () and Bent Nielsen

Econometrics Journal, 2000, vol. 3, issue 2, 216-249

Abstract: When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break points. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on the slopes of the broken linear trend.

Keywords: Break points; Cointegration; Common trend; Deterministic trend; Piecewise linear trend; Stochastic trend; Structural breaks; Vector autoregressive model. (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (412)

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Working Paper: Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249

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