Journal article

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.

Actions

Email

Email this record

Send the bibliographic details of this record to your email address.

Your Email
Please enter the email address that the record information will be sent to.

-
Your message (optional)
Please add any additional information to be included within the email.
Share
Cite

Cite this record

APA Style

Johansen, S., Mosconi, R., & Nielsen, B. (2000). Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. Econometrics Journal, 3(2), 216–245.

MLA Style

Johansen, S, et al. “Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.” Econometrics Journal, vol. 3, no. 2, 2000, pp. 216–45.

Chicago Style

Johansen, S, R Mosconi, and B Nielsen. 2000. “Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.” Econometrics Journal 3 (2): 216–45.
Print

Access Document

Files:: JMNquantiles19jun08.xls

(xls, 19.5KB, Terms of use)

dataJMN00.xls

(xls, 16.8KB, Terms of use)

Publisher copy:: 10.1111/1368-423X.00047

Authors

+ Johansen, S More by this author

Role:: Author

+ Mosconi, R More by this author

Role:: Author

+ Nielsen, B More by this author

Role:: Author

Publisher:: Royal Economic Society
Journal:: Econometrics Journal More from this journal
Volume:: 3
Issue:: 2
Pages:: 216 - 245
Publication date:: 2000-01-01
DOI:: 10.1111/1368-423X.00047
ISSN:: 1368-4221

Language:: English
UUID:: uuid:0b49fd87-cd50-4ed2-ba38-d78fb1e6c8fa
Local pid:: oai:economics.ouls.ox.ac.uk:10456
Deposit date:: 2011-08-16
ARK identifier:: ark:/29072/ora_0b49fd87cd504ed2ba38d78fb1e6c8fa

Terms of use

Copyright date:: 2000

Licence:: Terms and Conditions of Use for Oxford University Research Archive

Views and Downloads

About views and downloads

If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP