Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend.
TLDR
In this paper, a cointegration model with piecewise linear trend and known break points is proposed to test co-integration rank, restrictions on the cointegrating vector as well as the slopes of the broken linear trend.Abstract:
When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break points. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on the slopes of the broken linear trend.read more
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References
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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
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Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes
Ngai Hang Chan,C. Z. Wei +1 more
TL;DR: The limiting distribution of the least squares estimate of a stochastic integral under a 2 + ε moment assumption on the characteristic polynomial is derived in this article. But this is restricted to the case where the polynomials have all roots on or outside the unit circle.