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Erscheinungsjahr: 
1992
Schriftenreihe/Nr.: 
Quaderni - Working Paper DSE No. 141
Verlag: 
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE), Bologna
Zusammenfassung: 
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.
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