Research output: Contribution to journal › Review article › peer-review
This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.
| Translated title of the contribution | Structural breaks in cointegration models: Multivariate case |
|---|---|
| Original language | Russian |
| Pages (from-to) | 83-106 |
| Number of pages | 24 |
| Journal | Applied Econometrics |
| Volume | 64 |
| DOIs | |
| State | Published - 2021 |
ID: 92208108