Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555369 | Journal of Econometrics | 2005 | 24 Pages |
Abstract
We propose tests for hypotheses on the parameters for deterministic trends. The model framework assumes a multivariate structure for trend-stationary time series variables. We derive the asymptotic theory and provide some relevant critical values. Monte Carlo simulations suggest which tests are more useful in practice than others. We apply our tests to examine real GDP convergence for a sample of seven European countries.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Timothy J. Vogelsang, Philip Hans Franses,