Two simple tests of the trend hypothesis under time-varying variance

DOI10.1016/J.ECONLET.2017.04.030MaRDI QIDQ1673545zbMATHOpenAlexFDO

Authors Yang Yang, Shaoping Wang

Publication date 12 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.04.030

zbMATH Keywords

unit rootlinear trendtime-varying variancerobust test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• A simple, robust and powerful test of the trend hypothesis
• Some tests for linear trend of variances
• On Tests of Trend in a Weakly Stationary Time Series
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• A test of conditional heteroscedasticity in time series
• Unit Root Tests under Time-Varying Variances
• Testing for no-cointegration under time-varying variance
• Testing parametric assumptions of trends of a nonstationary time series

Cites work

• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• A simple, robust and powerful test of the trend hypothesis
• Automatic Lag Selection in Covariance Matrix Estimation
• Estimating deterministic trends with an integrated or stationary noise component
• Robustifying multivariate trend tests to nonstationary volatility
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Testing for unit roots in time series models with non-stationary volatility
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit Root Tests under Time-Varying Variances

Cited in

(3)

• Tests for Trend: A Simulation Study
• On robust testing for trend
• On Robust Trend Function Hypothesis Testing

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