Title: Monitoring structural break in error correction models
Authors: Leopold Soegner - Institute for Advanced Studies (Austria) [presenting]
Martin Wagner - University of Klagenfurt (Austria)
Abstract: Consistent monitoring procedures are developed to detect structural changes in a Johansen-type error correction model. In particular, we consider breaks where the cointegration rank remains constant. Furthermore, we investigate structural breaks in the parameters affecting the autoregressive and deterministic terms. We develop Lagrange multiplier tests allowing to monitor these kinds of breaks.