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Measuring persistence in the presence of trend breaks: The case of US GNP

✍ Scribed by Jörn-Steffen Pischke

Book ID
116101264
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
401 KB
Volume
36
Category
Article
ISSN
0165-1765

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✍ Fabio Busetti 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 199 KB 👁 2 views

## 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 Ha