DOI

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.

Переведенное названиеStructural breaks in cointegration models: Multivariate case
Язык оригиналарусский
Страницы (с-по)83-106
Число страниц24
ЖурналApplied Econometrics
Том64
DOI
СостояниеОпубликовано - 2021

    Предметные области Scopus

  • Экономика и эконометрия

    Области исследований

  • Error correction model, Structural breaks, Testing for cointegration, Testing for cointegration rank

ID: 92208108