On Robust Trend Function Hypothesis Testing

DOI10.2202/1558-3708.1303MaRDI QIDQ5452726zbMATH OpenOpenAlexFDO

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

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1303

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(7)

• On robust testing for trend
• Multivariate trend function testing with mixed stationary and integrated disturbances
• A simple, robust and powerful test of the trend hypothesis
• Testing for nonlinear deterministic components when the order of integration is unknown
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• ROBUST TESTS BASED ON THE SAMPLE CHARACTERISTIC FUNCTION
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter

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