Cointegration analysis in the presence of structural breaks in the deterministic trend

Søren Johansen, Rocco Mosconi, Bent Nielsen

Econometrics Journal · 2000 · 718 citations · 14 references

Concepts

Abstract

When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break points. Within this model it is possible to test cointegration rank, restrictions on the cointegrating vector as well as restrictions on the slopes of the broken linear trend.

References

14