The impact of the initial condition on robust tests for a linear trend

DOI10.1111/j.1467-9892.2010.00664.xzbMath1416.62493OpenAlexW1871414294MaRDI QIDQ3103185

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

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00664.x

zbMATH Keywords

initial conditiontrimmed datatrend testsasymptotic local power

Mathematics Subject Classification ID

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

Related Items (2)

On trend breaks and initial condition in unit root testing ⋮ Testing for a trend with persistent errors

Cites Work

• A simple, robust and powerful test of the trend hypothesis
• Minimizing the impact of the initial condition on testing for unit roots
• 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?
• Estimating deterministic trends with an integrated or stationary noise component
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Testing for Trend in the Presence of Autoregressive Error
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation

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