How to Deal with Structural Breaks in Practical Cointegration Analysis
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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.
- repec:bla:scotjp:v:64:y:2017:i:4:p:349-375 is not listed on IDEAS
- 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.
- Jurgen Amann & Paul Middleditch, 2015. "Growth in a Time of Austerity: Evidence From the UK," Centre for Growth and Business Cycle Research Discussion Paper Series 204, Economics, The Univeristy of Manchester.
- 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.
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Keywordsstructural break; dummy variable; cointegration; VAR models;
- 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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