TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS

DOI10.1017/S0266466610000617zbMath1227.62073MaRDI QIDQ3100979

Timothy J. Vogelsang, Özgen Sayginsoy

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (12)

Break point estimators for a slope shift: levels versus first differences ⋮ A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Heteroscedasticity and Autocorrelation Robust Structural Change Detection ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ HAC robust trend comparisons among climate series with possible level shifts ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Structural breaks with deterministic and stochastic trends
• 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?
• Asymptotics for linear processes
• The KPSS stationarity test as a unit root test
• Nonparametric tests for unit roots and cointegration.
• Residual-based tests for cointegration in models with regime shifts
• Interpreting tests of the convergence hypothesis
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Testing for Structural Change in Dynamic Models
• Testing For and Dating Common Breaks in Multivariate Time Series
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Testing for Trend in the Presence of Autoregressive Error
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

This page was built for publication: TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS