SØREN JOHANSEN, ROCCO MOSCONI and BENT NIELSEN
(2000)
Econometrics Journal, 3, 216-249

'Cointegration analysis in the presence of structural breaks in the
deterministic trend'

ABSTRACT:
When analysing macroeconomic data it is often of relevance to allow
for structural breaks in the statistical analysis. In particular,
cointegration analysis in the presence of structural breaks could be
of interest. We propose a cointegration model with piecewise linear
trend and known break points. Within this model it is possible to test 
cointegration rank, restrictions on the cointegrating vector as well
as restrictions on for instance the slopes of the broken linear trend.