Serial correlation robust LM type tests for a shift in trend

DOI10.1108/S0731-9053(2012)0000030009MaRDI QIDQ5133602zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(5)

• Fixed-b analysis of LM-type tests for a shift in mean
• Comment on "HAR Inference: Recommendations for Practice"
• Robust M tests using kernel-based estimators with bandwidth equal to sample size
• 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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