How to Deal with Structural Breaks in Practical Cointegration Analysis
AbstractIn this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models.
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Bibliographic InfoPaper provided by Macquarie University, Department of Economics in its series Research Papers with number 0112.
Length: 11 pages.
Date of creation: Dec 2001
Date of revision:
structural break; dummy variable; cointegration; VAR models;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- Filippo Maria Pericoli & Roberto Galli & Cecilia Frale & Stefania Pozzuoli, 2013. "Bank lending in a cointegrated VAR model," Working Papers 8, Department of the Treasury, Ministry of the Economy and of Finance.
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