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

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.

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Publisher copy:
10.1111/1368-423X.00047

Authors


Soren Johansen More by this author
Rocco Mosconi More by this author
Bent Nielsen More by this author
Journal:
Econometrics Journal
Volume:
3
Issue:
2
Publication date:
2000
DOI:
URN:
uuid:0b49fd87-cd50-4ed2-ba38-d78fb1e6c8fa
Local pid:
oai:economics.ouls.ox.ac.uk:10456
Language:
English

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