Recent developments in cointegration analysis in the presence of structural breaks

Goulding, Mark. (2001). Recent developments in cointegration analysis in the presence of structural breaks Honours Thesis, School of Economics, The University of Queensland.

       
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Author Goulding, Mark.
Thesis Title Recent developments in cointegration analysis in the presence of structural breaks
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2001
Thesis type Honours Thesis
Total pages 110
Language eng
Subjects 14 Economics
Formatted abstract
This thesis provides a technical review of the recent literature on Cointegration analysis in the presence of structural breaks. Cointegration was introduced in the early eighties, and has since been widely used in empirical analysis.

Recent developments have been made which take into account structural breaks or shifts. The implications of the breaks on testing techniques have long been problematic. Recent work addresses these issues.

Incorporating the theoretical results, and noting that Australia experienced a structural break, when the Australian Dollar was floated in 1,983, an application of the various tests is applied to a transformed Real exchange rate model.


Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Mon, 06 Dec 2010, 14:03:20 EST by Ning Jing on behalf of The University of Queensland Library