scholarly journals Detection of Multiple Structural Breaks in Multivariate Time Series

2015 ◽  
Vol 110 (510) ◽  
pp. 654-668 ◽  
Author(s):  
Philip Preuss ◽  
Ruprecht Puchstein ◽  
Holger Dette
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Multivariate Time Series ◽  
Multiple Structural Breaks

scholarly journals Forecasting Time Series Subject to Multiple Structural Breaks

2004 ◽  
Author(s):  
M. Hashem Pesaran ◽  
Davide Pettenuzzo ◽  
Allan Timmermann
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Multiple Structural Breaks

Structural breaks in cointegration models: Multivariate case

2021 ◽  
Vol 64 (4) ◽  
pp. 83-106
Author(s):  
Anton Skrobotov ◽  
◽  
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Multivariate Time Series ◽  
Multivariate Case ◽  
Multiple Breaks ◽  
Over Time

This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.

scholarly journals Forecasting Time Series Subject to Multiple Structural Breaks

2006 ◽  
Vol 73 (4) ◽  
pp. 1057-1084 ◽  
Author(s):  
M HASHEM PESARAN ◽  
DAVIDE PETTENUZZO ◽  
ALLAN TIMMERMANN
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Multiple Structural Breaks
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