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Co-breaking: Recent Advances and a Synopsis of the Literature.

Abstract:

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, ...

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Publication status:
Published
Peer review status:
Not peer reviewed

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Publisher copy:
10.1198/073500106000000422

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Institution:
University of Oxford
Role:
Author
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Funding agency for:
Hendry, D
Grant:
RES 051 270035
Publisher:
Taylor and Francis Publisher's website
Journal:
Journal of Business and Economic Statistics Journal website
Volume:
25
Issue:
1
Pages:
33 - 51
Publication date:
2007-01-01
DOI:
ISSN:
0735-0015
Language:
English
UUID:
uuid:3954c408-5475-4755-9587-674c8b5f9888
Local pid:
oai:economics.ouls.ox.ac.uk:10838
Deposit date:
2011-08-16

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