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Structural breaks in cointegration models: Multivariate case

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  • Skrobotov, Anton

    (RANEPA, Moscow; St.Petersburg University, St.Petersburg, Russian Federation;)

Abstract

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.

Suggested Citation

  • Skrobotov, Anton, 2021. "Structural breaks in cointegration models: Multivariate case," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 64, pages 83-106.
    • Handle: RePEc:ris:apltrx:0434
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    References listed on IDEAS

    as
    1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    2. Kheifets, Igor L. & Phillips, Peter C.B., 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems," Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
    3. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
    4. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-464, October.
    5. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    6. Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, Econometric Society, vol. 75(2), pages 459-502, March.
    7. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    8. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    9. Saikkonen, Pentti & Lütkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(3), pages 373-406, June.
    10. Skrobotov, Anton, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
    11. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, vol. 72(2), pages 647-662, March.
    12. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
    13. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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    Cited by:

    1. Polbin, Andrey & Skrobotov, Anton, 2022. "On decrease in oil price elasticity of GDP and investment in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 5-24.
    2. Balash, Vladimir & Faizliev, Alexey, 2024. "Volatility spillovers across Russian oil and gas sector. Evidence of the impact of global markets and extraordinary events," Energy Economics, Elsevier, vol. 129(C).

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    More about this item

    Keywords

    testing for cointegration; testing for cointegration rank; structural breaks; error correction model;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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