Structural breaks in cointegration models

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

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