کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096948 | 1376559 | 2009 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimating deterministic trends with an integrated or stationary noise component
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We propose a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter α, the sum of the autoregressive coefficients. The estimate of α is the OLS estimate obtained from an autoregression applied to detrended data and is truncated to take a value 1 whenever the estimate is in a Tâδ neighborhood of 1. This makes the estimate “super-efficient” when α=1 and implies that inference on the slope parameter can be performed using the standard Normal distribution whether α=1 or |α|<1. Theoretical arguments and simulation evidence show that δ=1/2 is the appropriate choice. Simulations show that our procedure has better size and power properties than the tests proposed by [Bunzel, H., Vogelsang, T.J., 2005. Powerful trend function tests that are robust to strong serial correlation with an application to the Prebish-Singer hypothesis. Journal of Business and Economic Statistics 23, 381-394] and [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R., 2007. A simple, robust and powerful test of the trend hypothesis. Journal of Econometrics 141, 1302-1330].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 151, Issue 1, July 2009, Pages 56-69
Journal: Journal of Econometrics - Volume 151, Issue 1, July 2009, Pages 56-69
نویسندگان
Pierre Perron, Tomoyoshi Yabu,