Browsing by Subject "structural break"

DSpace/Manakin Repository

Browsing by Subject "structural break"

Sort by: Order: Results:

  • Icon
    Title: Cointegration in Panel Data with Breaks and Cross-Section Dependence  Author(s): BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep Lluis Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one ...
  • Icon
    Title: Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break  Author(s): TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...