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Testing for common trends and patterns in functional time series data

Author

Listed:
  • Chen, Li
  • Xu, Xiu

Abstract

This paper proposes a test to examine common trends and common patterns in functional time series data (FTSD). We provide asymptotic results of the test and show that the test has reasonable size and power in finite samples by Monte Carlo simulations.

Suggested Citation

  • Chen, Li & Xu, Xiu, 2025. "Testing for common trends and patterns in functional time series data," Economics Letters, Elsevier, vol. 254(C).
    • Handle: RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525002770
    DOI: 10.1016/j.econlet.2025.112440
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    References listed on IDEAS

    as
    1. Han Lin Shang, 2013. "Functional time series approach for forecasting very short-term electricity demand," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(1), pages 152-168, January.
    2. Jiti Gao & Kim Hawthorne, 2006. "Semiparametric estimation and testing of the trend of temperature series," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 332-355, July.
    3. Jilin Wu & Xiaojun Song & Zhijie Xiao, 2023. "Testing for Trend Specifications in Panel Data Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 453-466, April.
    4. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
    5. Yonghui Zhang & Liangjun Su & Peter C. B. Phillips, 2012. "Testing for common trends in semi‐parametric panel data models with fixed effects," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 56-100, February.
    6. Han Lin Shang, 2019. "Visualizing rate of change: an application to age‐specific fertility rates," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(1), pages 249-262, January.
    7. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
    8. Likai Chen & Wei Biao Wu, 2019. "Testing for Trends in High-Dimensional Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 869-881, April.
    9. Chen, Li & Gao, Jiti & Vahid, Farshid, 2022. "Global temperatures and greenhouse gases: A common features approach," Journal of Econometrics, Elsevier, vol. 230(2), pages 240-254.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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