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Structural Breaks and Permanent Trends

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  • Clifford L.F. Attfield

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    Abstract

    For a multivariate time series model with structural breaks, explicit representations of the Beveridge-Nelson and Granger-Gonzalo-Proietti permanent trends are derived from the Johansen maximum likelihood estimates.

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    File URL: http://www.efm.bris.ac.uk/economics/working_papers/pdffiles/dp03545.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, University of Bristol, UK in its series Bristol Economics Discussion Papers with number 03/545.

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    Length: 12 pages
    Date of creation: Jan 2003
    Date of revision:
    Handle: RePEc:bri:uobdis:03/545

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    Related research

    Keywords: Multivariate Time Series; Structural Breaks; Permanent Trends;

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    1. Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-22, August.
    2. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-40, September.
    3. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
    4. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
    5. Marco Lippi & Lucrezia Reichlin, 1994. "Diffusion of technical change and the decomposition of output into trend and cycle," ULB Institutional Repository 2013/10157, ULB -- Universite Libre de Bruxelles.
    6. Allan w. Gregory & Bruce E. Hansen, 1992. "residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
    7. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    8. Cochrane, John H, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 109(1), pages 241-65, February.
    9. Bai, Jushan & Lumsdaine, Robin L & Stock, James H, 1998. "Testing for and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 395-432, July.
    10. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    11. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
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    Cited by:
    1. Cliff L.F. Attfield & Jonathan R.W. Temple, 2003. "Measuring trend output: how useful are the Great Ratios?," Bristol Economics Discussion Papers 03/555, Department of Economics, University of Bristol, UK.

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