A simple, robust and powerful test of the trend hypothesis

DOI10.1016/j.jeconom.2007.02.005zbMath1418.62329OpenAlexW2077698249MaRDI QIDQ289219

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

Publication date: 27 May 2016

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

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/06-01.pdf

zbMATH Keywords

asymptotic normalityunit root testsstationarity testspower envelopelinear trendstrong serial correlation

Mathematics Subject Classification ID

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

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