A1454
Title: Eigenvalue based monitoring of structural breaks in error correction models
Authors: Leopold Soegner - Institute for Advanced Studies (Austria) [presenting]
Martin Wagner - University of Klagenfurt, Bank of Slovenia and Institute for Advanced Studies, Vienna (Austria)
Abstract: Time-series integrated of order one are assumed to be generated by a vector error correction model. Consistent monitoring procedures are developed with the goal to detect structural breaks. Online break-point tests based on the stability of eigenvalues arising in maximum likelihood estimation are obtained. Our focus is on changes in the adjustment coefficients or/and changes in the cointegrating relationships. Breaks where the cointegration rank stays constant as well as breaks where the cointegration rank changes are investigated.
