Testing for Stochastic Trends in Series with Structural Breaks
AbstractThis 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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Bibliographic InfoPaper provided by Banca Italia - Servizio di Studi in its series Papers with number 385.
Length: 39 pages
Date of creation: 2000
Date of revision:
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DISTRIBUTION ; TESTS ; MACROECONOMICS;
Other versions of this item:
- Fabio Busetti, 2000. "Testing for Stochastic Trends in Series with Structural Breaks," Temi di discussione (Economic working papers) 385, Bank of Italy, Economic Research and International Relations Area.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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"Money Demand in theEuroArea: Do National Differences Matter?,"
0404019, EconWPA, revised 24 Apr 2004.
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