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- Publisher
- Oxford University Press
- Copyright
- © Royal Economic Society 2000
- ISSN
- 1368-4221
- eISSN
- 1368-423X
- DOI
- 10.1111/1368-423X.00047
- Publisher site
- See Article on Publisher Site
Abstract
Summary 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. This content is only available as a PDF. © Royal Economic Society 2000
Journal
The Econometrics Journal – Oxford University Press
Published: Dec 1, 2000