How to Deal with Structural Breaks in Practical Cointegration Analysis

نویسنده

  • Roselyne Joyeux
چکیده

In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models. JEL Classification Code: C32, C52, E43.

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تاریخ انتشار 2002