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Trend Function Hypothesis Testing in the Presence of Serial Correlation

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Author Info
Timothy J. Vogelsang

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Abstract

Test statistics are proposed for testing hypotheses about the parameters of the deterministic trend function of a univariate time series. The tests are valid for general forms of serial correlation in the errors and do not require estimates (parametric or nonparametric) of serial correlation parameters. The tests are valid for stationary and unit root errors. Allowable trend functions include linear polynomials of time that may have structural change. Asymptotic results are applied to a model with a simple linear trend and are used to construct confidence intervals for average GNP growth rates for eight industrialized countries using postwar data.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 66 (1998)
Issue (Month): 1 (January)
Pages: 123-148
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Handle: RePEc:ecm:emetrp:v:66:y:1998:i:1:p:123-148

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  1. Ozgen Sayginsoy, 2004. "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Discussion Papers 04-07, University at Albany, SUNY, Department of Economics. [Downloadable!]
  2. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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  3. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS. [Downloadable!]
  5. Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics. [Downloadable!]
  6. J. Breitung, . "Some Nonparametric Tests for Unit Roots and Cointegration," Sonderforschungsbereich 373 1999-36, Humboldt Universitaet Berlin.
  7. Galip Altinay, 2003. "Estimating growth rate in the presence of serially correlated errors," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 967-970, December. [Downloadable!] (restricted)
  8. Ozgen Sayginsoy, 2005. "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Econometrics 0503014, EconWPA, revised 11 Mar 2005. [Downloadable!]
  9. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society. [Downloadable!]
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  10. Ted Juhl, 2004. "A nonparametric adjustment for tests of changing mean," Economics Bulletin, Economics Bulletin, vol. 3(34), pages 1-11. [Downloadable!]
  11. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
  12. Bunzel, Helle & Vogelsang, Timothy J., 2003. "Powerful Trend Function Tests That are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis," Staff General Research Papers 10353, Iowa State University, Department of Economics.
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  13. Patrick Marsh, . "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York. [Downloadable!]
  14. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester. [Downloadable!]
  15. David Harvey & Stephen Leybourne & A.M. Robert Taylor, 2006. "On Robust Trend Function Hypothesis Testing," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(1), pages 1303-1303. [Downloadable!] (restricted)
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  16. Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics. [Downloadable!]
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  18. H. Peter Boswijk & Philip Hans Franses, 2002. "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers 02-002/4, Tinbergen Institute. [Downloadable!]
  19. T.J. Vogelsang & P.H. Franses, 2001. "Testing for common deterministic trend slopes," Econometric Institute Report 224, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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