On robust trend function hypothesis testing

Studies in Nonlinear Dynamics and Econometrics

Volumn 10, Issue 1, 2006, Pages 1-27

  Harvey, David I ^a   Leybourne, Stephen J ^a   Taylor, A M Robert ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644772001     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1303     Document Type: Review

References (10)

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2. Breitung, J. (2002): "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, 108, 343-363.
3. Bunzel, H., and T.J. Vogelsang (2005): "Powerful trend function tests that are robust to strong serial correlation with an application to the Prebisch-Singer hypothesis," Journal of Business and Economic Statistics, 23, 381-394.
4. 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.
5. Durlauf, S., and P.C.B. Phillips (1988): "Trends versus random walks in time series analysis," Econometrica, 55, 251-276.
6. Ng, S., and P. Perron (2001): "Lag length selection and the construction of unit root tests with good size and power," Econometrica, 69, 1519-1554.
7. Park, J.Y. (1990): "Testing for unit roots and cointegration by variable addition," in T.B. Fomby and G.F. Rhodes, eds., Advances in Econometrics: Cointegration, Spurious Regression and Unit Roots, Greenwich: Jai Press.
8. Park, J.Y., and B. Choi (1988): "A new approach to testing for a unit root," CAE Working Paper 88-23, Cornell University.
9. Perron, P., and S. Ng (1996): "Useful modifications to some unit root tests with dependent errors and their local asymptotic properties," Review of Economic Studies, 63, 435-463.
10. Vogelsang, T.J. (1998): "Trend function hypothesis testing in the presence of serial correlation," Econometrica, 66, 123-148.