Trend function hypothesis testing in the presence of serial correlation

Econometrica

Volumn 66, Issue 1, 1998, Pages 123-148

  Vogelsang, Timothy J ^a  

^a NONE

Author keywords

Conservative test; Hypothesis test; Partial sum; Structural change; Unit root; Wald test

Indexed keywords

EID: 0001760867     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2998543     Document Type: Article

References (27)

1. ANDREWS, D. W. K. (1991): "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, 59, 817-858.
2. ANDREWS, D. W. K., AND J. C. MONAHAN (1992): "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, 60, 953-966.
3. BAI, J., R. L. LUMSDAINE, AND J. H. STOCK (1994): "Testing for and Dating Breaks in Stationary and Nonstationary Multivariate Time Series," forthcoming in Review of Economic Studies.
4. BANERJEE, A., R. L. LUMSDAINE, AND J. H. STOCK (1992): "Recursive and Sequential Tests of the Unit Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business and Economic Statistics, 10, 271-288.
5. BOBKOSKI, M. J. (1983): "Hypothesis Testing in Nonstationary Time Series," Ph.D. Dissertation, Department of Statistics, University of Wisconsin.
6. CANJELS, E., AND M. W. WATSON (1997): "Estimating Deterministic Trends in the Presence of Serially Correlated Errors," Review of Economics and Statistics, 79, 184-200.
7. CHAN, C. H., AND C. Z. WHI (1987): "Asymptotic Inference for Nearly Stationary AR(1) Processes," The Annals of Statistics, 15, 1050-1063.
8. GRENANDER, U., AND M. ROSENBLATT (1957): Statistical Analysis of Stationary Time Series. New York: Chelsea Publishing Company.
9. HALL, A. (1994): "Testing for a Unit Root in a Time Series With Pretest Data Based Model Selection," Journal of Business and Economic Statistics, 12, 461-470.
10. NABEYA, S., AND P. PERRON (1994): "Local Asymptotic Distributions Related to the AR(1) Model with Dependent Errors," Journal of Econometrics, 62, 229-264.
11. NG, S., AND P. PERRON (1995): "Unit Root Tests in ARMA Models With Data Dependent Methods for the Truncation Lag," Journal of the American Statistical Association, 90, 268-281.
12. PARK, J. Y. (1990): "Testing for Unit Roots and Cointegration by Variable Addition," in Advances in Econometrics: Cointegration, Spurious Regressions and Unit Roots, ed. by T. Fomby and F. Rhodes. London: Jai Press, pp. 107-134.
13. PARK, J. Y., AND B. CHOI (1988): "A New Approach to Testing for a Unit Root," CAE Working Paper #88-23, Cornell University.
14. PERRON, P. (1988): "Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach," Journal of Economic Dynamics and Control, 12, 297-332.
15. _ (1989): "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis," Econometrica, 51, 1361-1401.
16. _ (1990): "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business and Economic Statistics, 8, 153-162.
17. _ (1991): "A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series," Mimeo, Princeton University.
18. PHILLIPS, P. C. B. (1987a): "Time Series Regression with Unit Roots," Econometrica, 55, 277-302.
19. _ (1987b): "Towards a Unified Asymptotic Theory for Autoregression," Biometrika, 74, 535-547.
20. PHILLIPS, P. C. B., AND S. DURLAUF (1988): "Trends Versus Random Walks in Time Series Analysis," Econometrica, 56, 1333-1354.
21. PRAIS, S. J., AND C. B. WINSTEN (1954): "Trend Estimators and Serial Correlation," Cowles Foundation Discussion Paper 383.
22. PRESS, W. H., B. P. FLANERY, S. A. TEUKOLSKY, AND W. T. VETTERLING (1992): Numerical Recipes: The Art of Scientific Computing. Cambridge, U.K.: Cambridge University Press.
23. ROBINSON, P. M. (1991): "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, 59, 1329-1363.
24. VOGELSANG, T. J. (1994): "Testing for a Shift in Mean Without Having to Estimate Serial Correlation Parameters," CAE Working Paper #94-24. Cornell University, forthcoming in Journal of Business and Economic Statistics.
25. _ (1996): "Trend Function Hypothesis Testing in the Presence of Serial Correlation," CAE Working Paper #96-11, Cornell University.
26. _ (1997a): "Wald-type Tests for Detecting Shifts in the Trend Function of a Dynamic Time Series," forthcomine in Econometric Theory, 13, No. 6.
27. _ (1997b): "Testing for a Shift in Trend When Serial Correlation is of Unknown Form," CAE Working Paper 97-11, Cornell University.