Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices

DOI10.1080/07474938.2011.553561zbMath1218.62091OpenAlexW2069148088MaRDI QIDQ3019741

David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 28 July 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/08-04.pdf

zbMATH Keywords

asymptotic powerunit root testtrend uncertaintyunion of rejections decision rulequadratic trends

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)

Related Items (1)

The effect of recursive detrending on panel unit root tests

Cites Work

• A simple, robust and powerful test of the trend hypothesis
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• Tests for Unit Roots and the Initial Condition

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