Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

Bent Nielsen

No 1494, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: When analysing macro economic 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. To do this a vector autoregressive model is proposed with known break points in the structural breaks. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on for instance the slopes of broken linear trend.

Date: 2000-08-01
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Journal Article: Cointegration analysis in the presence of structural breaks in the deterministic trend (2000)
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