search query: @indexterm ECONOMIC AGGREGATES / total: 6
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| Author: | Bai, J. Lumsdaine, R. Stock, J. H. |
| Title: | Testing for and dating common breaks in multivariate time series. |
| Journal: | Review of Economic Studies
1998 : JUL, VOL. 65(3):224, p. 395-432 |
| Index terms: | TIME SERIES GROWTH THEORY ECONOMIC AGGREGATES EUROPE USA |
| Language: | eng |
| Abstract: | The authors develop methods for constructing asymptotically valid confidence intervals for tha data of a singel berak in multivariate time series, including I(0), I(1), and deterministically trending regressors- Although the width of the asymptotic confidence interval does not decrease as the sample size increases, it is inversely related to the number of series which have a common reak date, so there are substantial gains to multivariate inference about break dates. These methods are applied to two empirical examples: the mean growth rate of output in three European countries, and the mean growth rate of U.S. consumption, investment, and output. |
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