SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

DOI10.1017/S0266466608090385zbMath1278.62135OpenAlexW2158787629MaRDI QIDQ3181959

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

Publication date: 30 September 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608090385

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (27)

Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ Break point estimators for a slope shift: levels versus first differences ⋮ Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation ⋮ A simple unit root testing methodology that does not require knowledge regarding the presence of a break ⋮ The impact of multiple structural changes on mortality predictions ⋮ Two simple tests of the trend hypothesis under time-varying variance ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ On trend breaks and initial condition in unit root testing ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Modeling trend processes in parametric mortality models ⋮ Testing for a break in trend when the order of integration is unknown ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Fixed‐banalysis of LM‐type tests for a shift in mean ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Unit root testing under a local break in trend ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS ⋮ A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION ⋮ Structural breaks in time series ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ ON THE STRUCTURAL CHANGE OF THE LEE-CARTER MODEL AND ITS ACTUARIAL APPLICATION ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Cites Work

• Structural breaks with deterministic and stochastic trends
• 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?
• Econometric estimation of a continuous time macroeconomic model of the United Kingdom with segmented trends
• Nonparametric tests for unit roots and cointegration.
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• New Tools for Understanding Spurious Regressions
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• CUSUM of Squares‐Based Tests for a Change in Persistence

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