Testing for Trend in the Presence of Autoregressive Error

DOI10.1198/016214504000000520MaRDI QIDQ4651037zbMATH OpenOpenAlexFDO

Authors Anindya Roy, Barry L. Falk, Wayne A. Fuller

Publication date 21 February 2005

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

Full work available at URL https://doi.org/10.1198/016214504000000520

zbMATH Keywords

test statisticGauss-Newtonpivotal quantityfeasible generalized least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(18)

• Testing for Linear Trend with Application to Relative Primary Commodity Prices
• Evaluation of Linear Trend Tests Using Resampling Techniques
• Multivariate trend function testing with mixed stationary and integrated disturbances
• The impact of the initial condition on robust tests for a linear trend
• Robustifying multivariate trend tests to nonstationary volatility
• Serially correlated differences in the paired comparison of time series
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Testing the autoregressive parameter with the t statistic
• Least-squares tests of time-series,invention effects with and without autocorrelations
• A non‐parametric test for multi‐variate trend functions
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