Tests for changes in models with a polynomial trend
type: Item
instance of: scholarly article
title: Tests for changes in models with a polynomial trend
zbMATH Open document ID: 0905.62120
DOI: 10.1016/S0304-4076(97)00080-8
author: Chung-Ming Kuan
published in: Journal of Econometrics
publication date: 1999-01-27T00:00:00Z
review text: A new class of tests based on the `generalized fluctuation' testing principle is proposed by the author for checking the presence of structural changes in models with polynomial trend. The power of the performance of the tests is analyzed analytically and by simulation and it is shown that these tests are consistent and have non-trivial local power against a wide class of alternatives. For the proposed tests the asymptotic null-distributions are derived and their asymptotic critical values are tabulated. The proposed tests can complement the existing tests for different time trend models, especially for the trend stationary models.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 1124512
zbMATH Keywords: structural change
zbMATH Keywords: Brownian bridge
zbMATH Keywords: trend stationary model
zbMATH Keywords: polynomial trend
zbMATH Keywords: generalized fluctuation test
MaRDI profile type: Publication
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full work available at URL: s0304-4076(97)00080-8
OpenAlex ID: W1974504707
description: scientific article; zbMATH DE number 1124512