Structural Breaks and Permanent Trends

Clifford L.F. Attfield ()

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

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.

Keywords: Multivariate Time Series; Structural Breaks; Permanent Trends (search for similar items in EconPapers)
JEL-codes: C32 C51 E3 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2003-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:03/545

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