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Modelling economies in transition: an introduction

Modelling economies in transition: an introduction
Modelling economies in transition: an introduction
This paper considers the implications of structural breaks, such as have occurred in many transition economies, for econometric modelling based on the multivariate cointegration paradigm. It outlines recent developments on the identification of linear cointegrated systems, discusses some practical problems, and presents an extension to non-linear systems. This is followed by a discussion of the impact of structural breaks on the identification and estimation of such systems. Finally, it relates these issues to the other papers in this volume.
9919
University of Southampton
Hall, S.
a11a8f8b-d6fb-47a7-82b1-1f76d2f170dc
Mizon, G.E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Welfe, A.
b372202f-f03c-47a3-985e-5d69d70e27ef
Hall, S.
a11a8f8b-d6fb-47a7-82b1-1f76d2f170dc
Mizon, G.E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Welfe, A.
b372202f-f03c-47a3-985e-5d69d70e27ef

(1999) Modelling economies in transition: an introduction (Discussion Papers in Economics and Econometrics, , (doi:10.1016/S0264-9993(99)00042-5), 9919) Southampton, UK. University of Southampton

Record type: Monograph (Discussion Paper)

Abstract

This paper considers the implications of structural breaks, such as have occurred in many transition economies, for econometric modelling based on the multivariate cointegration paradigm. It outlines recent developments on the identification of linear cointegrated systems, discusses some practical problems, and presents an extension to non-linear systems. This is followed by a discussion of the impact of structural breaks on the identification and estimation of such systems. Finally, it relates these issues to the other papers in this volume.

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Published date: 1999
Organisations: Economics

Identifiers

Local EPrints ID: 33154
URI: http://eprints.soton.ac.uk/id/eprint/33154
PURE UUID: 61e81522-e4f5-4439-8dc1-2e2caac2f937

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Date deposited: 24 May 2007
Last modified: 17 Jul 2017 15:53

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