How to Deal with Structural Breaks in Practical Cointegration Analysis
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.
|Date of creation:||Dec 2001|
|Date of revision:|
|Contact details of provider:|| Postal: Sydney NSW 2109|
Web page: http://www.econ.mq.edu.au/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:mac:wpaper:0112. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helen Boneham)
If references are entirely missing, you can add them using this form.