Serial correlation robust LM type tests for a shift in trend

DOI10.1108/S0731-9053(2012)0000030009zbMATH Open1452.62325OpenAlexW2493211014MaRDI QIDQ5133602FDOQ5133602

Authors: Jingjing Yang, Timothy J. Vogelsang 

Publication date: 10 November 2020

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000030009

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zbMATH Keywords

kernelstructural changefixed-\(b\) asymptoticsnonmonotonic powerlong run varianceLagrange multiplier (LM) testrobust bandwidth

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Comment on "HAR Inference: Recommendations for Practice"
• Testing for a shift in trend at an unknown date: a fixed-\(b\) analysis of heteroskedasticity autocorrelation robust OLS-based tests
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

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