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- W2137942388 abstract "We demonstrate that in time trend models, the likelihood-based tests of partial parameter stability have size distortions and cannot be applied to detect the changing parameter. A two-step procedure is then proposed to distinguish between different trend-break models. This procedure involves consistent estimation of break dates and properly-sized tests for changing coefficient. In the empirical study of the Nelson-Plosser data set, we find that the estimated change points and trend-break specifications resulting from the proposed procedure are quite different from those of Perron (1989, 1997), Chu and White (1992), and Zivot and Andrews (1992). In another application, our procedure provides formal support for the conclusion of Ben-David and Papell (1995) that real per capita GDPs of most OECD countries exhibit a slope change in trend." @default.
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- W2137942388 date "2001-12-01" @default.
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- W2137942388 title "Distinguishing between trend-break models: method and empirical evidence" @default.
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- W2137942388 doi "https://doi.org/10.1111/1368-423x.00061" @default.
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