Co-Breaking
Recent Advances and a Synopsis of the Literature
Bibliographic Data
| ID | 19418161 |
|---|---|
| Authors | David F Hendry (0000-0002-8013-576X, University of Oxford), Michael Massmann (University of Bonn) |
| Year | 2007 |
| Volume | 25 |
| Issue | 1 |
| Pages | 33-51 |
| Publication date | 2007-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500106000000422 |
| OpenAlex | W2131357088 |
| Language | EN |
| Citations received | 7 |
| References cited | 79 |
This article has two aims. First, we provide a synopsis of the literature on co-breaking that has developed in several, seemingly disconnected, strands. We establish a consistent terminology, collect theoretical results, delimit co-breaking to cointegration and common features, and review recent contributions to co-breaking regressions and the budding analysis of co-breaking rank. Second, we present new results in the field, particularly, on the importance of co-breaking for policy analysis, with special emphasis on impulse-response functions. Moreover, a new procedure for co-breaking rank testing is presented, evaluated by Monte Carlo experiments, and illustrated using U.K. macroeconomic data
Cointegration · Econometrics · Economics · Impulse response · Monte Carlo method · Physics · Statistics · Symmetry breaking · Terminology · Computer Science · Economic theories and models · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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Some properties of time series data and their use in econometric model specification
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Large Sample Properties of Generalized Method of Moments Estimators
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Theory of the Consumption Function
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Exogeneity, Cointegration, and Economic Policy Analysis
Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States
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Similarity Issues in Cointegration Analysis
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| Citations per year | 0.37 |
|---|---|
| Citation span | 2007 - 2026 (20) |
| Highly cited | No |