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Two simple tests of the trend hypothesis under time-varying variance

Yang Yang and Shaoping Wang

Economics Letters, 2017, vol. 156, issue C, 123-128

Abstract: This paper investigates the effects of time-varying variance on the linear trend tests proposed by Harvey et al. (2007) (HLT) and Perron and Yabu (2009) (PY) and finds time-varying variance results in obviously different null distributions. We propose two new robust linear trend tests. An empirical application highlights the usefulness of our tests.

Keywords: Linear trend; Time-varying variance; Unit root; Robust test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2017
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