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Structural Breaks and Permanent Trends


  • Clifford L.F. Attfield



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.

Suggested Citation

  • Clifford L.F. Attfield, 2003. "Structural Breaks and Permanent Trends," Bristol Economics Discussion Papers 03/545, Department of Economics, University of Bristol, UK.
  • Handle: RePEc:bri:uobdis:03/545

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    References listed on IDEAS

    1. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    3. 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 271-287, July.
    4. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    5. 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.
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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.

    More about this item


    Multivariate Time Series; Structural Breaks; Permanent Trends;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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