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Testing for Common Deterministic Trend Slopes

  • Vogelsang, Timothy J.

    (Cornell U)

  • Franses, Philip Hans

    (Erasmus U Rotterdam)

We propose tests for hypotheses on the parameters for deterministic trends. The model framework assumes a multivariate structure for trend-stationary time series variables. We derive the asymptotic theory and provide some relevant critical values. Monte Carlo simulations suggest which tests are more useful in practice than others. We apply our tests to examine if monthly temperatures in The Netherlands, measured from 1706 onwards, have a trend and if these trends are the same across months. We find that the January and March temperatures have the same upward trend, that the September temperature has decreased and that the temperatures in the other months do not have a trend. Hence, only winters in The Netherlands seem to get warmer.

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File URL: https://cae.economics.cornell.edu/commontrends.pdf
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Paper provided by Cornell University, Center for Analytic Economics in its series Working Papers with number 01-15.

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Date of creation: Jun 2001
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Handle: RePEc:ecl:corcae:01-15
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  1. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  2. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  3. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2002. "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1350-1366, December.
  4. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
  5. Kiefer, Nicholas M., 2001. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation," Working Papers 01-13, Cornell University, Center for Analytic Economics.
  6. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  7. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  8. Bart Hobijn & Philip Hans Franses, 2000. "Asymptotically perfect and relative convergence of productivity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 59-81.
  9. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  10. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  11. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
  12. Eugene Canjels & Mark W. Watson, 1994. "Estimating Deterministic Trends in the Presence of Serially Correlated Errors," NBER Technical Working Papers 0165, National Bureau of Economic Research, Inc.
  13. Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000. "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, vol. 68(3), pages 695-714, May.
  14. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
  15. D'Andrade, Kendall, 1992. "The End of an Era," Business Ethics Quarterly, Cambridge University Press, vol. 2(03), pages 379-389, July.
  16. Fomby, Tom & Vogelsang, Tim, 2000. "The Application of Size Robust Trend Analysis to Global Warming Temperature Series," Working Papers 00-08, Cornell University, Center for Analytic Economics.
  17. Timothy J. Vogelsang & Marc Tomljanovich, 2002. "Are U.S. regions converging? Using new econometric methods to examine old issues," Empirical Economics, Springer, vol. 27(1), pages 49-62.
  18. Loewy, Michael B. & Papell, David H., 1996. "Are U.S. regional incomes converging? Some further evidence," Journal of Monetary Economics, Elsevier, vol. 38(3), pages 587-598, December.
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