Testing for (common) stochastic trends in the presence of structural breaks

Journal of Forecasting

Volumn 21, Issue 2, 2002, Pages 81-105

  Busetti, Fabio ^a  

^a BANK OF ITALY   (Italy)

Author keywords

Cointegration; Common trends; Cram r von Mises distribution; Locally best invariant test; Structural breaks

Indexed keywords

MATHEMATICAL MODELS; REGRESSION ANALYSIS; STATISTICAL TESTS; TIME SERIES ANALYSIS; VECTORS;

ASYMPTOTIC DISTRIBUTIONS;

RANDOM PROCESSES;

EID: 0036495028     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.813     Document Type: Article

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