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Browsing by Subject "structural break"
Now showing items 1-2 of 2
Title:Cointegration in Panel Data with Breaks and Cross-Section Dependence
Author(s):BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep LluisDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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 ...
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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 ...