Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/158984
Authors: 
Bianchi, Marco
Year of Publication: 
1992
Series/Report no.: 
Quaderni - Working Paper DSE 141
Abstract: 
A procedure based on density estimation is suggested in the paper to discriminate trend stationary processes about local linear time trends from difference stationary processes. A 'rule of thumb' is constructed to detect the suitability of a segmented trend representation, and a regression analysis is used to identify the number and the dates of structural breaks. The U.S. series of nominal wages over the period 1900-1970 is analysed according to the assumption the dynamics are driven by exogenous shocks which occur infrequently. In a multivariate domain, implications of segmented trend modeling for cointegration theory are also briefly considered.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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