Structural breaks in cointegration models

Applied Econometrics, 2021, vol. 63, 117-141

Abstract: This review discusses methods of testing for a cointegration in a time series in the presence of structural breaks. The review covers a large number of recently developed testing methods based on both one equation and multiple equation frameworks. In addition, various methods for estimating the dating of break dates and constructing of their confidence intervals are presented. In addition, nonlinear cointegration methods with regime switching are considered.

Keywords: testing for cointegration; testing for cointegration rank; structural breaks; error correction model (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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