Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.
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....
| Auteurs principaux: | , , |
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| Format: | Journal article |
| Langue: | English |
| Publié: |
Royal Economic Society
2000
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| _version_ | 1826258573829603328 |
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| author | Johansen, S Mosconi, R Nielsen, B |
| author_facet | Johansen, S Mosconi, R Nielsen, B |
| author_sort | Johansen, S |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T18:36:07Z |
| format | Journal article |
| id | oxford-uuid:0b49fd87-cd50-4ed2-ba38-d78fb1e6c8fa |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:36:07Z |
| publishDate | 2000 |
| publisher | Royal Economic Society |
| record_format | dspace |
| spelling | oxford-uuid:0b49fd87-cd50-4ed2-ba38-d78fb1e6c8fa2022-03-26T09:28:32ZCointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:0b49fd87-cd50-4ed2-ba38-d78fb1e6c8faEnglishDepartment of Economics - ePrintsRoyal Economic Society2000Johansen, SMosconi, RNielsen, BWhen 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. |
| spellingShingle | Johansen, S Mosconi, R Nielsen, B Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title | Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title_full | Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title_fullStr | Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title_full_unstemmed | Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title_short | Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend. |
| title_sort | cointegration analysis in the presence of structural breaks in the deterministic trend |
| work_keys_str_mv | AT johansens cointegrationanalysisinthepresenceofstructuralbreaksinthedeterministictrend AT mosconir cointegrationanalysisinthepresenceofstructuralbreaksinthedeterministictrend AT nielsenb cointegrationanalysisinthepresenceofstructuralbreaksinthedeterministictrend |