A test for changing trends with monotonic power

DOI10.1016/J.ECONLET.2016.01.006zbMATH Open1398.62252OpenAlexW2252304306MaRDI QIDQ1668151FDOQ1668151

Authors Jilin Wu

Publication date 3 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.01.006

zbMATH Keywords

\(U\)-statisticstructural changesdeterministic trendsmonotonic power

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• A powerful test for changing trends in time series models
• A nonparametric test for changing trends
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Cites work

• A nonparametric test for changing trends
• Nonparametric tests of moment condition stability
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Restoring monotonic power in Wald/LM-type tests
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Strong rules for detecting the number of breaks in a time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for changing mean with monotonic power
• The Cusum Test with Ols Residuals

Cited in

(9)

• Restoring monotone power in the CUSUM test
• Tests of stochastic monotonicity with improved power
• Power monotonicity in detecting volatility levels change
• Testing for shifts in mean with monotonic power against multiple structural changes
• Tests for changing mean with monotonic power
• Tests for Monotonic Trend from Case-Control Data: Cochran-Armitage-Mantel Trend Test, Isotonic Regression and Single and Multiple Contrast Tests
• A nonparametric test for changing trends
• Testing for jumps in the presence of smooth changes in trends of nonstationary time series
• A powerful test for changing trends in time series models

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