Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case

• Autorzy: Michał Majsterek , Emilia Gosińska
• Języki publikacji: EN

Abstrakty

EN

The paper analyses the consequences of structural change in the presence of non-stationary stochastic processes I(1) or I(2). The structural change may concern the deterministic structure (in particular, the trend and the constant term) as well as the process generating the stochastic part. The focus of the paper is on the case of a discrete change in a regime for which the moment of switch is known. A change in the deterministic part does not alter the character of the cointegration relationships but its consequences for cotrending and cobreaking are interesting. The consequences of a change in the stochastic part are more complex, because then the stochastic process as well as the deterministic structure of the VECM are modified. The restrictions are analysed for both cases. (original abstract)

Słowa kluczowe

EN

Stochastic processes; Vector error correction model (VECM); Cointegration; Vector Autoregression Model (VAR)

PL

Procesy stochastyczne; Model wektorowej korekty błędem; Kointegracja; Model wektorowej autoregresji

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2020
• Tom: 12
• Numer: nr 4
• Strony: 317--345

Twórcy

autor

Michał Majsterek

• University of Lodz, Poland

autor

Emilia Gosińska

• University of Lodz, Poland

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2020.136031