Testing for Common Deterministic Trend Slopes

Timothy Vogelsang and Philip Hans Franses

Working Papers from Cornell University, Center for Analytic Economics

Abstract: We propose tests for hypotheses on the parameters for deterministic trends. The model framework assumes a multivariate structure for trend-stationary time series variables. We derive the asymptotic theory and provide some relevant critical values. Monte Carlo simulations suggest which tests are more useful in practice than others. We apply our tests to examine if monthly temperatures in The Netherlands, measured from 1706 onwards, have a trend and if these trends are the same across months. We find that the January and March temperatures have the same upward trend, that the September temperature has decreased and that the temperatures in the other months do not have a trend. Hence, only winters in The Netherlands seem to get warmer.

Date: 2001-06
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Citations: View citations in EconPapers (4)

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https://cae.economics.cornell.edu/commontrends.pdf

Related works:
Journal Article: Testing for common deterministic trend slopes (2005)
Working Paper: Testing for common deterministic trend slopes (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:corcae:01-15

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