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Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels

โœ Scribed by Roy Cerqueti; Mauro Costantini

Book ID
116615847
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
233 KB
Volume
35
Category
Article
ISSN
0378-4266

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Testing for (common) stochastic trends i
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