Testing for a trend with persistent errors

DOI10.1016/J.JECONOM.2020.03.006MaRDI QIDQ2224883zbMATH OpenOpenAlexFDO

Authors Graham Elliott

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/8qb0j5s7

zbMATH Keywords

trendcomposite hypothesis

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)

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Cites work

• A new approximate point optimal test of a composite null hypothesis
• A simple, robust and powerful test of the trend hypothesis
• Estimating deterministic trends with an integrated or stationary noise component
• Hypothesis testing in the presence of nuisance parameters
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for Unit Roots and the Initial Condition
• The impact of the initial condition on robust tests for a linear trend
• Time Series Regression with a Unit Root
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(7)

• Testing for Trend in the Presence of Autoregressive Error
• On the correlations of trend-cycle errors
• Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
• A simple, robust and powerful test of the trend hypothesis
• The impact of the initial condition on robust tests for a linear trend
• TESTING FOR TREND
• A Hausman test with trending data

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