Structural breaks in cointegration models (in Russian)

This review discusses methods of testing for a cointegration in a time series in thepresence of structural breaks. The review covers a large number of recently developedtesting methods based on both one equation and multiple equation frameworks. In addition,various methods for estimating the dating of break dates and constructing of their confidenceintervals are presented. In addition, nonlinear cointegration methods with regime swithingsare considered

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Year of publication:	[2021]
Authors:	Skrobotov, Anton
Publisher:	[S.l.] : SSRN
Subject:	Russland \| Russia \| Kointegration \| Cointegration \| Strukturbruch \| Structural break \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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