Testing for Deterministic Linear Trend in Time Series

DOI10.2307/2289247MaRDI QIDQ3725399zbMATH OpenOpenAlexFDO

Authors Jukka Nyblom

Publication date 1986

Full work available at URL https://doi.org/10.2307/2289247

zbMATH Keywords

deterministic linear trendMost powerful testsPitman asymptotic relative efficienciespowersrandom walktime-varying parameters

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(20)

• Testing for a slowly changing level with special reference to stochastic volatility
• On the power of point optimal tests of the trend stationarity hypothesis
• Diagnostic check for heavy tail in linear time series
• Detection of change in persistence of a linear time series
• Computation of limiting distributions in stationarity testing with a generic trend
• The fragility of the KPSS stationarity test
• Stationarity testing under nonlinear models. Some asymptotic results
• scientific article; zbMATH DE number 4190954 (Why is no real title available?)
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Evaluation of Linear Trend Tests Using Resampling Techniques
• Consistent detection of a monotonic trend superposed on a stationary time series
• Simple diagnostic tools for inverstigating linear trends in time series
• On Tests of Trend in a Weakly Stationary Time Series
• Stationarity against integration in the autoregressive process with polynomial trend
• Testing for parameter constancy in the time series direction in panel data models
• Invariant tests for covariance structures in multivariate linear model
• A spatio-temporal approach to estimate patterns of climate change
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit-roots test for time-series data with a linear time trend
• Improving the finite sample performance of tests for a shift in mean

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