Testing for Stochastic Trends in Series with Structural Breaks

Fabio Busetti

Working Papers from Banca Italia - Servizio di Studi

Abstract: 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.

Keywords: DISTRIBUTION; TESTS; MACROECONOMICS (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Testing for Stochastic Trends in Series with Structural Breaks (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:banita:385

Access Statistics for this paper

More papers in Working Papers from Banca Italia - Servizio di Studi Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().