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Free University of Bozen-Bolzano

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Round Table

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

04 Dec 2025 12:30-13:30

"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.

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