Two simple tests of the trend hypothesis under time-varying variance
Yang Yang and
Economics Letters, 2017, vol. 156, issue C, 123-128
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128
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