Title: Structural breaks and instabilities at the end of sample
Authors: Josep Lluis Carrion-i-Silvestre - Universitat de Barcelona (Spain) [presenting]
Abstract: The focus is on cointegration relationships that are affected by the presence of parameter instabilities that can appear in the whole time period. Usually, the estimation of structural breaks for cointegrated relationships requires excluding some observations at the extremes of the time period, avoiding the possibility of capturing parameter instabilities at the end-of-sample (EOS). We propose a procedure to estimate both structural breaks at the non-end-of-sample (NEOS) and parameter instabilities at the EOS. The new procedure is designed to improve the performance of the existing EOS instabilities tests.