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.

Additional Metadata
Keywords deterministic trends, economic convergence, hypothesis testing, multivariate trend function testing
JEL Hypothesis Testing (jel C12), Time-Series Models; Dynamic Quantile Regressions (jel C32)
Persistent URL dx.doi.org/10.1016/j.jeconom.2004.02.004, hdl.handle.net/1765/13342
Journal Journal of Econometrics
Citation
Vogelsang, T.J, & Franses, Ph.H.B.F. (2005). Testing for Common Deterministic Trend Slopes. Journal of Econometrics, 126(1), 1–24. doi:10.1016/j.jeconom.2004.02.004