Testing for Stochastic Trends in Series with Structural Breaks.

This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate Locally Best Invariant test and the common trend test of Nyblom and Harvey.

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Year of publication:	2000
Authors:	Busetti, F.
Institutions:	Banca d'Italia
Subject:	DISTRIBUTION \| TESTS \| MACROECONOMICS

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Series:	Banca Italia - Servizio di Studi.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780687