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.

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Year of publication:	2001-12
Authors:	Joyeux, Roselyne
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	structural break \| dummy variable \| cointegration \| VAR models

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Extent:	application/pdf
Series:	Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0112 11 pages .
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005231952