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Structural breaks in cointegration models
[Структурные Сдвиги В Моделях Коинтеграции]

Author

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  • Skrobotov, Anton (Скроботов, Антон)

    (The Russian Presidential Academy of National Economy and Public Administration)

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 swithings are considered.

Suggested Citation

  • Skrobotov, Anton (Скроботов, Антон), 2021. "Structural breaks in cointegration models [Структурные Сдвиги В Моделях Коинтеграции]," Working Papers w20220130, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220130
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    Cited by:

    1. 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).

    More about this item

    Keywords

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

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