How to deal with structural breaks in practical cointegration analysis?

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

The empirical literature making use of unit root and cointegration tests has been growing over the last two decades. The application of those tests is challenging for many reasons including the treatment of deterministic terms (constant and trend) and structural breaks. Franses (2001) addresses the problem of how to deal with intercept and trend in practical cointegration analysis. In this chapter, the same approach is applied to the treatment of structural breaks in VAR models used to test for unit roots and cointegration.
Original languageEnglish
Title of host publicationCointegration for the applied economist
EditorsB. Bhaskara Rao
Place of PublicationHoundmills, Basingstoke, UK
PublisherPalgrave Macmillan
Pages195-221
Edition2nd
ISBN (Print)9781403996145
Publication statusPublished - 2007

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