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Slug Tests in the Presence of Background Head Trends

✍ Scribed by David W. Ostendorf; Don J. DeGroot


Book ID
111351602
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
590 KB
Volume
48
Category
Article
ISSN
0017-467X

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Testing for (common) stochastic trends i
✍ Fabio Busetti πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 199 KB πŸ‘ 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