Testing for Deterministic Linear Trend in Time Series
- 1 June 1986
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 81 (394) , 545
- https://doi.org/10.2307/2289247
Abstract
Most powerful tests are derived for the hypothesis that deterministic linear trend occurs in time series against the alternative that trend consists of random walk subject to drift. Comparisons of these tests and of the tests suggested by LaMotte and McWhorter (1978) are made in terms of exact powers and Pitman asymptotic relative efficiencies.Keywords
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