Event type Hybrid Event
LocationRoom BZ E3.20 | Universitätsplatz 1 - piazza Università, 1
Bozen
Location Information
Departments ECO Faculty
Contact Katarina Nemeckova
Katarina.Nemeckova@unibz.it
"Online Breakpoint-Detection in Cointegrating Relationships" Research Seminar
Detecting structural breaks in cointegrating relationships: Prof. Leopold Sögner presents a closed-end monitoring procedure based on the VECM to assess stability and apply it to money demand
Event type Hybrid Event
LocationRoom BZ E3.20 | Universitätsplatz 1 - piazza Università, 1
Bozen
Location Information
Departments ECO Faculty
Contact Katarina Nemeckova
Katarina.Nemeckova@unibz.it
This seminar presents a new closed-end monitoring procedure designed to detect structural breaks in cointegrating relationships within a vector error correction framework. The proposed test statistic allows for different deterministic specifications and enables online break-point detection after an initial calibration period. Theoretical results on asymptotic properties are complemented by simulation studies assessing finite-sample performance. Finally, the method is applied to examine potential structural changes in money demand.
For online participation, please register at the link below