Structural Breaks and Permanent Trends

Clifford L.F. Attfield ()

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: For a multivariate time series model with structural breaks, explicit representations of the Beveridge-Nelson and Granger-Gonzalo-Proietti permanent trends are derived from the Johansen maximum likelihood estimates.

Keywords: Multivariate Time Series; Structural Breaks; Permanent Trends (search for similar items in EconPapers)
JEL-codes: C32 C51 E3 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2003-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.bristol.ac.uk/efm/media/workingpapers/w ... pdffiles/dp03545.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:03/545

Access Statistics for this paper

More papers in Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK
Bibliographic data for series maintained by Vicky Jackson ().