The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Cointegration analysis in the presence of structural breaks in the deterministic trend
Abstract
When analysing macroeconomic 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. We propose a cointegration model with piecewise linear trend and known break points. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on the slopes of the broken linear trend.
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Citations
Cites
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
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Wiesel, T., Pauwels, K., & Arts, J. (2011) · Marketing Science · doi:10.1287/mksc.1100.0612 · Cited by 207
Metadata
- Authors
- Johansen, S., Mosconi, R., & Nielsen, B.
- Venue
- The Econometrics Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2000-12-01
- Volume
- 3
- Issue
- 2
- Pages
- 216-249
- ISSN
- 1368-4221 (ISSN-L)
- 1368-423X
- OpenAlex
- W2083648255
- Cited by
- 708
- References
- 1
- FWCI
- 22.28
- Type
- journal article
- Language
- en
- Open access
- closed
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- Johansen, S., Mosconi, R., & Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend. The Econometrics Journal. https://doi.org/10.1111/1368-423x.00047
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
