Trend Function Hypothesis Testing in the Presence of Serial Correlation
From MaRDI portal
Publication:4530905
DOI10.2307/2998543zbMath1055.62576OpenAlexW2169898025MaRDI QIDQ4530905
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2998543
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT ⋮ Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices ⋮ On robust testing for trend ⋮ A simple, robust and powerful test of the trend hypothesis ⋮ Local linear quantile estimation for nonstationary time series ⋮ Estimating deterministic trends with an integrated or stationary noise component ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS ⋮ Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation ⋮ Persistence change tests and shifting stable autoregressions ⋮ Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Infant mortality rates: time trends and fractional integration ⋮ Unit root tests in the presence of uncertainty about the non-stochastic trend ⋮ Weak \(\sigma\)-convergence: theory and applications ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Testing for unit roots in the presence of uncertainty over both the trend and initial condition ⋮ NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ \(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables ⋮ Testing for time series linearity ⋮ Trends in distributional characteristics: existence of global warming ⋮ Modified tests for a change in persistence ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Unit root testing under a local break in trend ⋮ COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor ⋮ TESTING FOR TREND ⋮ TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS ⋮ The impact of the initial condition on robust tests for a linear trend ⋮ A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component ⋮ Testing for nonlinear deterministic components when the order of integration is unknown ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS ⋮ Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing ⋮ Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ Nonparametric rank tests for non-stationary panels ⋮ The effect of recursive detrending on panel unit root tests ⋮ Nonparametric tests for unit roots and cointegration. ⋮ Variance ratio tests of the seasonal unit root hypothesis ⋮ Testing for common deterministic trend slopes ⋮ A nonparametric test for changing trends