Title: Open-end monitoring of structural breaks in the cointegration VAR 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: An open-end consistent monitoring procedure is developed with the goal of detecting structural changes in a Johansen-type error correction model. An open-end monitoring approach developed for the stationary case is adapted to the non-stationary case. This allows the investigation of breaks where the cointegration rank changes as well as breaks where the cointegration rank remains constant but the model parameters change. Non-parametric and parametric monitoring procedures are developed, where the test statistic is either based on moments or the model parameters.