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The robustness of tests for seasonal differencing to structural breaks

✍ Scribed by Artur C.B. da Silva Lopes


Book ID
117331984
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
50 KB
Volume
71
Category
Article
ISSN
0165-1765

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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