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....
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Royal Economic Society
2000
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