Testing for Trend in the Presence of Autoregressive Error: A Comment

DOI10.1080/01621459.2012.668638MaRDI QIDQ4916518zbMATH OpenOpenAlexFDO

Authors Pierre Perron, Tomoyoshi Yabu

Publication date 22 April 2013

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

Full work available at URL http://ies.keio.ac.jp/old_project/old/gcoe-econbus/pdf/dp/DP2011-024.pdf

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Estimating deterministic trends with an integrated or stationary noise component
• Testing for Trend in the Presence of Autoregressive Error

Cited in

(3)

• Testing for multiple structural changes with non-homogeneous regressors
• Robust testing of time trend and mean with unknown integration order errors
• Spike detection for calcium activity

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