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How to Deal with Structural Breaks in Practical Cointegration Analysis

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Author Info

  • Roselyne Joyeux

    ()
    (Department of Economics, Macquarie University)

Abstract

In 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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File URL: http://www.econ.mq.edu.au/research/2001/12-2001b.pdf
File Function: First Version, 2001
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Bibliographic Info

Paper provided by Macquarie University, Department of Economics in its series Research Papers with number 0112.

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Length: 11 pages.
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:mac:wpaper:0112

Contact details of provider:
Postal: Sydney NSW 2109
Web page: http://www.econ.mq.edu.au/
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Related research

Keywords: structural break; dummy variable; cointegration; VAR models;

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Cited by:
  1. 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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