Two simple tests of the trend hypothesis under time-varying variance

DOI10.1016/j.econlet.2017.04.030zbMath1400.62171OpenAlexW2610412535MaRDI QIDQ1673545

Yang Yang, Shaoping Wang

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.04.030

zbMATH Keywords

unit rootlinear trendtime-varying variancerobust test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• A simple, robust and powerful test of the trend hypothesis
• Testing for unit roots in time series models with non-stationary volatility
• Robustifying multivariate trend tests to nonstationary volatility
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimating deterministic trends with an integrated or stationary noise component
• Unit Root Tests under Time-Varying Variances
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Automatic Lag Selection in Covariance Matrix Estimation

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