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How to Deal with Structural Breaks in Practical Cointegration Analysis


  • Roselyne Joyeux

    () (Department of Economics, Macquarie University)


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.

Suggested Citation

  • Roselyne Joyeux, 2001. "How to Deal with Structural Breaks in Practical Cointegration Analysis," Research Papers 0112, Macquarie University, Department of Economics.
  • Handle: RePEc:mac:wpaper:0112

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    Cited by:

    1. Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
    2. 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.
    3. repec:bla:scotjp:v:64:y:2017:i:4:p:349-375 is not listed on IDEAS
    4. Juergen Amann & Paul Middleditch, 2017. "Growth in a time of austerity: evidence from the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 64(4), pages 349-375, September.

    More about this item


    structural break; dummy variable; cointegration; VAR models;

    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; State Space Models
    • 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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