Testing for Cointegration in the Presence of Regime Shifts and other Structural Breaks in the Conditional Equation
Revised solutions for the models permitting various known and unknown timing structural breaks (including regime shift) only in the conditional equation were given in Krauze (2001b). In this paper they are reconsidered and extended. The outline of the paper is as follows: Section 2 presents the data generating models and two (ECM and CDF) testing procedures for cointegration relating to various specifications of models with structural breaks. Section 3 describes an empirical example based on exchange rate model. We close with some concluding remarks in Section 4.(fragment of text)
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