TY - JOUR
N2 - The paper analyses the consequences of structural change in the presenceof non-stationary stochastic processes I(1) or I(2). The structural change mayconcern the deterministic structure (in particular, the trend and the constantterm) as well as the process generating the stochastic part. The focus of thepaper is on the case of a discrete change in a regime for which the momentof switch is known. A change in the deterministic part does not alter thecharacter of the cointegration relationships but its consequences for cotrendingand cobreaking are interesting. The consequences of a change in the stochasticpart are more complex, because then the stochastic process as well as thedeterministic structure of the VECM are modified. The restrictions are analysedfor both cases.
L1 - http://journals.pan.pl/Content/118949/mainFile.pdf
L2 - http://journals.pan.pl/Content/118949
PY - 2020
IS - No 4
EP - 317-345
KW - structural change
KW - DGP
KW - cointegration
KW - VAR model
A1 - Majsterek, Michał
A1 - Gosińska, Emilia
PB - Oddział PAN w Łodzi
SP - 317-345
T1 - Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case
DA - 2020.12.22
UR - http://journals.pan.pl/dlibra/publication/edition/118949
DOI - 10.24425/cejeme.2020.136031
ER -