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Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

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  • Bent Nielsen

    (University of Oxford)

Abstract

When analysing macro economic 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. To do this a vector autoregressive model is proposed with known break points in the structural breaks. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on for instance the slopes of broken linear trend.

Suggested Citation

  • Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
    • Handle: RePEc:ecm:wc2000:1494
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    References listed on IDEAS

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    1. Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(2), pages 222-259, April.
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