Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

By Søren Johansen, R. Mosconi, Bent Nielsen. 2000

784 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/494e363d3d0d034dc24e94da9765cf2974ed9869

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Koen Pauwels
2. Shuba Srinivasan
3. Dominique M. Hanssens
4. Marnik G. Dekimpe
5. David I. Stern
6. Michael P. Clements
7. David F. Hendry
8. Reinhard Madlener

In Finance

1. Koen Pauwels
2. R. Bernstein
3. Michael P. Clements
4. Shuba Srinivasan
5. Dominique M. Hanssens
6. David F. Hendry
7. David I. Stern
8. G. Listorti

Citations in the corpus

• Agricultural Price Transmission Across Space and Commodities During Price Bubbles (2011, methodology): “In this respect, Johansen et al. (2000) generalized the standard Johansen cointegration test by admitting up to two predetermined breaks in the cointegration space, and proposed a model where breaks in the deterministic terms are allowed at known points in time.”
• How Dynamic Consumer Response, Competitor Response, Company Support, and Company Inertia Shape Long-Term Marketing Effectiveness (2004, background): “Unit root and cointegration tests Augmented Dickey-Fuller Test Enders (1995) Are variables stationary or evolving? Zivot-Andrews test Zivot and Andrews (1992) Are unit root results robust to unknown breaks? Cointegration analysis Johansen et al. (2000) Are evolving variables in long-run equilibrium?”
• Who Benefits from Store Brand Entry (2004, methodology): “Consistent with our research focus, we apply the recent extension to the Johansen cointegration test (Johansen et al. 2000) that accounts for structural breaks.”
• Causality Between Energy and Output in the Long-Run (2013, positive): “By contrast, in recent bivariate panel data studies, Joyeux and Ripple (2011) find causality flowing from income to energy consumption for 56 developed and developing economies, while Chontanawat et al.”
• Do Promotions Benefit Manufacturers, Retailers, or Both? (2002, background): “Effects Over Time of Price Promotions on Manufacturer Performance: Brand Sales and Brand Revenues.”
• Economic Forecasting: Some Lessons from Recent Research (2003, background): “Difference-stationary (DS) and trend-stationary (TS) models have markedly different implications for forecasting when the properties of each are derived as if it were the DGP: see Sampson (1991). However, such a state of nature can never be actualized: only one model can be the DGP.”