Berenguer-Rico, Vanessa; Carrion-i-Silvestre, Josep Lluís - Facultat d'Economia i Empresa, Universitat de Barcelona - 2007
In this paper we model the multicointegration relation, allowing for one structural break. Since multicointegration is a particular case of polynomial or I(2) cointegration, our proposal can also be applied in these cases. The paper proposes the use of a residualbased Dickey-Fuller class of...