English, Article, Journal or magazine article edition: Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit. Vanessa Berenguer-Rico; Josep Lluís Carrion-i-Silvestre

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Bookmark: http://trove.nla.gov.au/version/36071
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit.
Author
  • Vanessa Berenguer-Rico
  • Josep Lluís Carrion-i-Silvestre
Physical Description
  • preprint
Notes
  • In this paper we model the multicointegration relation, allowing for one structural break. Since multicointegration is a particular case of polynomial or I(2) cointegration, our proposal can also be applied in these cases. The paper proposes the use of a residualbased Dickey-Fuller class of statistic that accounts for one known or unknown structural break. Finite sample performance of the proposed statistic is investigated by using Monte Carlo simulations, which reveals that the statistic shows good properties in terms of empirical size and power. We complete the study with an empirical application of the sustainability of the US external deficit. Contrary to existing evidence, the consideration of one structural break leads to conclude in favour of the sustainability of the US external deficit.
  • I(2) processes, multicointegration, polynomial cointegration, structural break, sustainability of external deficit.
  • RePEc:ira:wpaper:200709
Language
  • English
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