Autori: Banerjee, Anindya , Urga, Giovanni
Titolo: Sequential methods for detecting structural breaks in cointegrated systems
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1998 - Fascicolo: 25 - Pagina iniziale: 1 - Pagina finale: 32

We investigate the issue of breaks in systems of equations by analysing small systems where breaks in the deterministic components affect the equations at distinct time periods. A method is proposed of timing the breaks and a sensitivity-analysis undertaken to test the robustness of our findings to variations in the parameters characterising the data generation processes. Generalisations for dealing with empirically relevant models, via bootstrap methods, are proposed. An empirical example, based on data from the UK-trading sector concludes the paper.


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