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Testing for common deterministic trend slopes
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DOI：10.1016/j.jeconom.2004.02.004.png)
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Abstract
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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. (C) 2004 Elsevier B.V. All rights reserved.
Keywords:
deterministic trends
hypothesis testing
multivariate trend function testing
economic convergence
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