## 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
β¦ LIBER β¦
Testing for the Presence of a Random Walk in Series with Structural Breaks
β Scribed by Fabio Busetti; Andrew Harvey
- Book ID
- 108549451
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 337 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0143-9782
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