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Spurious Rejections by Perron Tests in the Presence of a Break

✍ Scribed by Tae-Hwan Kim; Stephen J. Leybourne; Paul Newbold


Book ID
108554647
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
696 KB
Volume
62
Category
Article
ISSN
0140-5543

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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