Testing for a deterministic trend when there is evidence of unit root

DOI10.2202/1941-1928.1013MaRDI QIDQ4928528zbMATH OpenOpenAlexFDO

Authors Daniel Ventosa-Santaulària, Manuel Gómez-Zaldívar

Publication date 14 June 2013

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1941-1928.1013

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(8)

• UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
• Non-renewable resource prices: deterministic or stochastic trends?
• Unit root testing with slowly varying trends
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• New unit root asymptotics in the presence of deterministic trends.
• Testing of unit and fractional roots in the context of deterministic trends with weakly autocorrelated disturbances
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition

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