期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2020
期号：4
页码：317-345
DOI：10.24425/cejeme.2020.136031
语种：English
出版社：Polska Akademia Nauk
摘要：The paper analyses the consequences of structural change in the presence of non-stationary stochastic processes I(1) or I(2).The structural change may concern the deterministic structure (in particular, the trend and the constant term) as well as the process generating the stochastic part.The focus of the paper is on the case of a discrete change in a regime for which the moment of switch is known.A change in the deterministic part does not alter the character of the cointegration relationships but its consequences for cotrending and cobreaking are interesting.The consequences of a change in the stochastic part are more complex, because then the stochastic process as well as the deterministic structure of the VECM are modified.The restrictions are analysed for both cases.
关键词：Risk management;technological risks;oil industry
