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Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

โœ Scribed by Luis A. Gil-Alana


Book ID
105856083
Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
111 KB
Volume
28
Category
Article
ISSN
0377-7332

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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