Testing for Trend in the Presence of Autoregressive Error

DOI10.1198/016214504000000520zbMath1055.62097OpenAlexW2004922166MaRDI QIDQ4651037

Wayne A. Fuller, Anindya Roy, Barry L. Falk

Publication date: 21 February 2005

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214504000000520

zbMATH Keywords

test statisticGauss-Newtonpivotal quantityfeasible generalized least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ Estimating deterministic trends with an integrated or stationary noise component ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ Testing for Trend in the Presence of Autoregressive Error: A Comment ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Evaluation of Linear Trend Tests Using Resampling Techniques ⋮ TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS ⋮ The impact of the initial condition on robust tests for a linear trend

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