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Testing for multivariate cointegration in the presence of structural breaks: p -values and critical values

โœ Scribed by Giles, David E.; Godwin, Ryan T.

Book ID
126766266
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
128 KB
Volume
19
Category
Article
ISSN
1350-4851

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Testing for (common) stochastic trends in the presence of structural breaks
โœ Fabio Busetti ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 199 KB ๐Ÿ‘ 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