Testing for trends in correlated data

Statistics and Probability Letters

Volumn 41, Issue 1, 1999, Pages 87-95

  Hongguang, Sun ^a   Pantula, Sastry G ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

Bootstrap; Maximum likelihood; Power

Indexed keywords

EID: 0032622748     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(98)00131-x     Document Type: Article

References (21)

1. Arellano, C., Pantula, S.G., 1995. Testing for trend stationarity versus difference stationarity. J. Time Series Anal. 16, 147-164.
2. Beach, C.M., MacKinnon, J.G., 1978. A maximum likelihood procedure for regression with autocorrelated errors. Econometrica 46, 51-58.
3. Bloomfield, P., Nychka, D.W., 1992. Climate spectra and detecting climate change. Climatic Change 21, 175-287.
4. Brillinger, D.R., 1989. Consistent detection of a monotonie trend superimposed on a stationary time series. Biometrika 76, 23-30.
5. Brillinger, D.R., 1994. Trend analysis: Time series and point process problems. Environmetrics 5, 1-19.
6. Canjels, E., Watson, M.W., 1995. Estimating Deterministic Trends in the Presence of Correlated Errors. Technical working paper #165, NBER, Cambridge, MA.
7. Chan, N.H., Wei, C.Z., 1987. Asymptotic inference for nearly nonstationary AR(1) processes. Ann. Statist. 15, 1050-1063.
8. Dickey, D.A., Fuller, W.A., 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-1072.
9. Durlauf, S.N., Phillips, P.C.B., 1988. Trends versus random walks in time series analysis. Econometrica 56, 1133-1154.
10. Fuller, W.A., 1996. Introduction to Statistical Time Series. Wiley, New York.
11. Gan, N., Pantula, S.G., 1994. Testing for trends in correlated data. Proceedings of the Business and Economics Section, Joint Statistical Meetings of the American Statistical Association, Toronto.
12. Gonzalez-Farias, G., 1992. A New Unit Root Test for Autoregressive Time Series. Unpublished Ph.D. dissertation, North Carolina State University, Raleigh, NC.
13. Nelson, C.R., Kang, H., 1983. Pitfalls in the use of time as an explanatory variable in regression. J. Business Econom. Statist. 2, 73-82.
14. Pankratz, A., 1983. Forecasting with Univariate Box-Jenkins Models: Concepts and Cases. Wiley, New York, NY.
15. Park, R.E., Mitchell, B.M., 1980. Estimating the autocorrelated error model with trended data. J. Econometrics 13, 185-201.
16. Phillips, P.C.B., 1987. Toward a unified asymptotic theory for autoregression. Biometrika 74, 535-547.
17. Sun, H., 1996. Testing for Trends in Correlated Data. Unpublished Ph.D. dissertation, North Carolina State University, Raleigh, NC.
18. Watson, M.W., 1992. A Note on Estimating Deterministic Trends in the Presence of Serially Correlated Errors. Technical report, Department of Economics, Northwestern University, Evanston, IL.
19. Woodward, W.A., Gray, H.L., 1993. Global warming and the problem of testing for trend in time series data. J. Climate 6, 953-962.
20. Woodward, W.A., Gray, H.L., 1995. Selecting a model for detecting the presence of a trend. J. Climate 8, 1929-1937.
21. Woodward, W.A., Bottone, S., Gray, H.L., 1996. Improved Tests for Trend in Time Series Data. Technical report, Department of Statistics, Southern Methodist University, Dallas, TX.