David Harvey (School of Economics, University of Nottingham) Stephen Leybourne (School of Economics, University of Nottingham) A.M. Robert Taylor (School of Economics, University of Nottingham)
Additional information is available for the following
registered author(s):
In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes statistics formed from taking the product of a (normalised) Wald statistic for the trend function hypothesis under test with a specific function of a separate variable addition Wald statistic. The function of the second statistic is explicitly chosen such that the resultant product statistic has pivotal limiting null distributions, coincident at a chosen level, under I(0) or I(1) errors. The variable addition statistic in question has also been suggested as a unit root statistic, and we propose corresponding tests based on other well-known unit root statistics. We find that, in the case of the linear trend model, a test formed using the familiar augmented Dickey-Fuller [ADF] statistic provides a useful complement to Vogelsang's original tests, demonstrating generally superior power when the errors display strong serial correlation with this pattern tending to reverse as the degree of serial correlation in the errors lessens. Importantly for practical considerations, the ADF-based tests also display significantly less finite sample over-size in the presence of weakly dependent errors than the original tests.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: