Efficient Detection and Estimation of Multiple Structural Breaks in Cointegrated Systems
Final Report Abstract
Although we faced some difficulties at the start of the project, we could reach most of our objectives. The properties of the proposed estimator were analyzed theoretically and in various simulation experiments. It is implemented in R and will be made available to the scientific community after the working papers have been published. The papers were presented at the Asian Meeting of the Econometric Society in China 2022, the Econometric Society 2022 Australasia Meeting, the AMES 2022 Tokyo, German Statistical Week in Münster, the EEA-ESEM in Milan, and various workshops and seminars. The first working paper was submitted to a field journal (Econometric Reviews) and is currently under review. The second working paper is currently revised to be submitted to a journal in the near future.
Publications
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Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors. Oxford Bulletin of Economics and Statistics, 87(4), 850-865.
Schweikert, Karsten
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Multiple Structural Breaks in Vector Error Correction Models. Studies in Nonlinear Dynamics & Econometrics.
Franjic, Domenic; Mößler, Markus & Schweikert, Karsten
