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Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations

Author

Listed:
  • Jiawen Xu

    (Shanghai University of Finance and Economics and Key Laboratory of Mathematical Economics)

  • Pierre Perron

    (Boston University)

Abstract

We provide tests to perform inference on the coe¢ cients of a linear trend assuming the noise to be a fractionally integrated process with memory parameter d 2 (

Suggested Citation

  • Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
    • Handle: RePEc:bos:wpaper:wp2013-006
    as

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    File URL: http://www.bu.edu/econ/files/2014/05/Perron-Robust-testing-of-time-trend-March-2013.pdf
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    References listed on IDEAS

    as
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    3. repec:hal:journl:peer-00834425 is not listed on IDEAS
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    Full references (including those not matched with items on IDEAS)

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