Co-breaking: Recent Advances and a Synopsis of the Literature.
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, ...Expand abstract
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- This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the Journal of Business & Economic Statistics (2007), © 2007 American Statistical Association, available online at: http://www.tandfonline.com/10.1198/073500106000000422.
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