Cointegration Analysis in the Presence of Outliers

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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach (2009, background): “Considered dummies need to be statistically significant in the respective model and, additionally, have to be accompanied by a reasonable economic explanation (see Nielsen, 2004).”
Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate (2010, methodology): “The possibility of an additive step e¤ect has been tested and the e¤ect removed prior to the VAR analysis using a procedure in Nielsen (2004).”