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.

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doi.org/10.1016/j.jeconom.2004.02.004, hdl.handle.net/1765/13342
Journal of Econometrics
Erasmus Research Institute of Management

Vogelsang, T., & Franses, P. H. (2005). Testing for Common Deterministic Trend Slopes. Journal of Econometrics, 126(1), 1–24. doi:10.1016/j.jeconom.2004.02.004