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- Title
TREND FUNCTION HYPOTHESIS TESTING IN THE PRESENCE OF SERIAL CORRELATION.
- Authors
Vogelsang, Timothy J.
- Abstract
The article proposes test statistics that can be used to test hypotheses about the parameters of the deterministic trend function of a univariate time series. The tests are valid in the presence of general forms of serial correlation in the errors. Trend functions that are permitted include general linear polynomial trend functions that may have breaks at either known or unknown locations. Asymptotic power curves are computed for the simple linear trend model and compared to existing tests. A simulation study shows that the asymptotic approximations are adequate for sample sizes typically used in economics.
- Subjects
STATISTICS; TESTING; HYPOTHESIS; TIME series analysis; STATISTICAL correlation; ERROR analysis in mathematics
- Publication
Econometrica, 1998, Vol 66, Issue 1, p123
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/2998543