Testing for Deterministic Linear Trend in Time Series

DOI10.2307/2289247MaRDI QIDQ3725399zbMATH OpenOpenAlexFDO

Authors Jukka Nyblom

Publication date 1986

Full work available at URL https://doi.org/10.2307/2289247

zbMATH Keywords

random walkpowerstime-varying parametersPitman asymptotic relative efficienciesdeterministic linear trendMost powerful tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(19)

• Consistent detection of a monotonic trend superposed on a stationary time series
• The fragility of the KPSS stationarity test
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Evaluation of Linear Trend Tests Using Resampling Techniques
• Diagnostic check for heavy tail in linear time series
• Detection of change in persistence of a linear time series
• scientific article; zbMATH DE number 4190954 (Why is no real title available?)
• Invariant tests for covariance structures in multivariate linear model
• Testing for parameter constancy in the time series direction in panel data models
• Testing for a slowly changing level with special reference to stochastic volatility
• Computation of limiting distributions in stationarity testing with a generic trend
• On the power of point optimal tests of the trend stationarity hypothesis
• A spatio-temporal approach to estimate patterns of climate change
• Improving the finite sample performance of tests for a shift in mean
• Simple diagnostic tools for inverstigating linear trends in time series
• Stationarity against integration in the autoregressive process with polynomial trend
• Unit-roots test for time-series data with a linear time trend
• Stationarity testing under nonlinear models. Some asymptotic results
• 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?

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