Testing for Trend in the Presence of Autoregressive Error: A Comment
Roy, Falk and Fuller (2004) presented a procedure aimed at providing a test for the value of the slope of a trend function that has (nearly) controlled size in autoregressive models whether the noise component is stationary or has a unit root. In this note, we document errors in both their theoretical results and the simulations they reported. Once these are corrected for, their procedure delivers a test that has very liberal size in the case with a unit root so that the stated goal is not achieved. Interestingly, the mistakes in the code used to generate the simulated results (which is the basis for the evidence about the reliability of the method) are such that what they report is essentially equivalent to the size and power of the test proposed by Perron and Yabu (2009), which was shown to have the standard Normal distribution whether the noise is stationary or has a unit root.
|Date of creation:||Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://ies.keio.ac.jp/old_project/old/gcoe-econbus/
More information through EDIRC
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.:
- Pierre Perron & Tomoyoshi Yabu, 2005.
"Estimating Deterministric Trends with an Integrated or Stationary Noise Component,"
Boston University - Department of Economics - Working Papers Series
WP2005-037, Boston University - Department of Economics.
- Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
- Pierre Perron & Tomoyoshi Yabu, . "Estimating Deterministic Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2006-012, Boston University - Department of Economics, revised Feb 2006.
- Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:kei:dpaper:2011-024. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Global COE Program Office)The email address of this maintainer does not seem to be valid anymore. Please ask Global COE Program Office to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.