Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch–Singer Hypothesis
- 1 October 2005
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (4) , 381-394
- https://doi.org/10.1198/073500104000000631
Abstract
We propose tests for hypotheses on the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data, ...Keywords
All Related Versions
This publication has 15 references indexed in Scilit:
- Nonparametric tests for unit roots and cointegrationJournal of Econometrics, 2002
- A General Test of the Prebisch–Singer HypothesisReview of Development Economics, 1999
- Estimating Deterministic Trends in the Presence of Serially Correlated ErrorsThe Review of Economics and Statistics, 1997
- Optimal Tests when a Nuisance Parameter is Present Only Under the AlternativeEconometrica, 1994
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root ModelsEconometrica, 1993
- The Prebisch-Singer Hypothesis: A Reappraisal Independent of Stationarity HypothesesThe Economic Journal, 1992
- Trends and Cycles in the Net Barter Terms of Trade: A New ApproachThe Economic Journal, 1989
- Limiting Distributions of Least Squares Estimates of Unstable Autoregressive ProcessesThe Annals of Statistics, 1988
- Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run ShowsThe World Bank Economic Review, 1988
- Time Series Regression with a Unit RootEconometrica, 1987