A Direct Test for Changing Trend

Chia-Shang James Chu and Halbert White

Journal of Business & Economic Statistics, 1992, vol. 10, issue 3, 289-99

Abstract: The authors consider tests for changing trend that do not require prior knowledge about the location of the changepoint. The limiting distribution is derived from the functional central limit theorem and the critical value from the hitting probability of a Brownian bridge. Applying a test sensitive to the alternative of trend stationarity with structural breaks, they find that for real gross national product, real per capita gross national product, and real wages before World War II the hypothesis of trend stationarity is rejected.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:10:y:1992:i:3:p:289-99

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