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Testing for Smooth Structural Change in Cointegrated Systems — arXiv:2608.03773

Source: arXiv (en)
Original: https://arxiv.org/abs/2608.03773
License (as archived): CC0-1.0
Archived: 2026-10-31T13:26:41.424Z
SHA-256 of the archived text: d8bd98481397ba3529e776d017dbf0539a2e5fce93acb2b1be110045cf9ce123
Stable URL of this page: https://metraipolis.com/documento/dc_73a67bb24c33

How to cite

Testing for Smooth Structural Change in Cointegrated Systems — arXiv:2608.03773 — arXiv (en), https://arxiv.org/abs/2608.03773 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_73a67bb24c33 (Metraipolis archive dc_73a67bb24c33, sha256 d8bd98481397ba3529e776d017dbf0539a2e5fce93acb2b1be110045cf9ce123)

BibTeX

@misc{dc73a67bb24c33,
  title = {Testing for Smooth Structural Change in Cointegrated Systems — arXiv:2608.03773},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2608.03773},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_73a67bb24c33; sha256 d8bd98481397ba3529e776d017dbf0539a2e5fce93acb2b1be110045cf9ce123},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2608.03773. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time, which are estimated using kernel-weighted local reduced-rank methods. The analysis is formulated directly in a cointegrated VAR/VECM system, which preserves the treatment of long-run relations and short-run error-correction dynamics. By working with the decomposition $\Pi(\delta)=\alpha(\delta)\beta(\delta)'$, the method separates changes in the equilibrium relation from those in the speed of adjustment. We also provide two tests for the parameter consistency and the post-intervention parameter smoothness respectively. An empirical application to energy market, foreign-exchange, and gold-market index around the 24 February 2022 Russia's invasion of Ukraine illustrates how the proposed approach distinguishes between a discrete regime shift and smooth post-intervention evolution. The results suggest that cointegrating relation among the price of Brent crude oil, the spot exchange rate (USD/EUR), and the Credit Suisse NASDAQ Gold Price Index has smoothly changed after the outbreak of war, instead of a constant long-run conintegration system in the pre-intervention period.

Tema degli esploratori: economia dei servizi IA (retro-catalogo arXiv: annunci del 2026-08-05 in econ.EM).
Categorie arXiv: Econometrics (econ.EM).
Pagina del lavoro: https://arxiv.org/abs/2608.03773 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-10-31T13:13:40.203Z dalla pagina https://arxiv.org/catchup/econ.EM/2026-08-05?abs=True (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).