Testing for a trend with persistent errors
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Publication:2224883
DOI10.1016/J.JECONOM.2020.03.006zbMATH Open1464.62382OpenAlexW3015513135MaRDI QIDQ2224883FDOQ2224883
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Time Series Regression with a Unit Root
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Tests for Unit Roots and the Initial Condition
- Estimating deterministic trends with an integrated or stationary noise component
- A new approximate point optimal test of a composite null hypothesis
- A simple, robust and powerful test of the trend hypothesis
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- Hypothesis testing in the presence of nuisance parameters
- The impact of the initial condition on robust tests for a linear trend
Cited In (7)
- Testing for Trend in the Presence of Autoregressive Error
- Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
- On the correlations of trend-cycle errors
- 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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