Cointegration Analysis In The Presence Of Structural Breaks In The Deterministic Trend  

Oleh:

Johansen, Soren ; Mosconi, Rocco ; Nielsen, Bent

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 3 no. 2 (2000), page 216-249.
Topik: Break points; Cointegration; Common trend; Deterministic trend; Piecewise linear trend; Stochastic trend; Structural breaks; Vector autoregressive model.
Fulltext: 216.pdf (755.89KB)

Isi artikel

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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