Testing for shifts in trend with an integrated or stationary noise component

This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. We propose a new approach that builds on the work of Perron and Ya...

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Bibliographische Detailangaben

Hauptverfasser:	Perron, Pierre (VerfasserIn), Yabu, Tomoyoshi (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Tokyo IMES 2006
Schriftenreihe:	Discussion paper series / Institute for Monetary and Economic Studies, Bank of Japan 2006,2
Schlagworte:	Mathematisches Modell Wirtschaftsentwicklung Ökonometrisches Modell Econometrics > Mathematical models Economic development > Mathematical models Gross domestic product > Econometric models Macroeconomics > Mathematical models
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