Testing for common deterministic trend slopes

DOI10.1016/J.JECONOM.2004.02.004MaRDI QIDQ262744zbMATH OpenOpenAlexFDO

Authors Timothy J. Vogelsang, Philip Hans Franses

Publication date 30 March 2016

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

Full work available at URL https://cae.economics.cornell.edu/commontrends.pdf

zbMATH Keywords

hypothesis testingdeterministic trendseconomic convergencemultivariate trend function testing

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Efficient Tests for an Autoregressive Unit Root
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Multiple Time Series Regression with Integrated Processes
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Simple Robust Testing of Regression Hypotheses
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

Cited in

(16)

• Increasing convergence among European stock markets?: A recursive common stochastic trends analysis
• HAC robust trend comparisons among climate series with possible level shifts
• On modeling panels of time series
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Robustifying multivariate trend tests to nonstationary volatility
• Testing for Trend Specifications in Panel Data Models
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• A non‐parametric test for multi‐variate trend functions
• Accurately sized test statistics with misspecified conditional homoskedasticity
• A local factor nonparametric test for trend synchronism in multiple time series
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Estimating deterministic trends with an integrated or stationary noise component
• Cotrending: testing for common deterministic trends in varying means model
• Testing for common trends in semi-parametric panel data models with fixed effects
• scientific article; zbMATH DE number 5041474 (Why is no real title available?)

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