Published March 27, 2023
| Version v1
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Structural breaks in cointegration models
Creators
- 1. Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA)
Description
This review discusses methods of testing for a cointegration in a time series in the presence of structural breaks. The review covers a large number of recently developed testing 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 confidence intervals are presented. In addition, nonlinear cointegration methods with regime swithings are considered
Files
2.6._Турунцева М.Ю (1).pdf
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(710.1 kB)
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