How to Deal with Structural Breaks in Practical Cointegration Analysis

Roselyne Joyeux

No 112, Research Papers from Macquarie University, Department of Economics

Abstract: In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models.

Keywords: structural break; dummy variable; cointegration; VAR models (search for similar items in EconPapers)
JEL-codes: C32 C52 E43 (search for similar items in EconPapers)
Pages: 11 pages.
Date: 2001-12
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