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Rescaled range analysis in the presence of stochastic trend

✍ Scribed by Alexander Aue; Lajos Horváth; Josef Steinebach

Book ID: 108267410
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 181 KB
Volume: 77
Category: Article
ISSN: 0167-7152
DOI: 10.1016/j.spl.2007.03.003

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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