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Optimal forecasts in the presence of structural breaks

✍ Scribed by Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail


Book ID
121338857
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
647 KB
Volume
177
Category
Article
ISSN
0304-4076

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## 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