Robust tests for a linear trend with an application to equity indices
In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(1) and requires no knowledge of the form of weak dependence present in the data. Our approach is motivated by the testing proce...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Elsevier
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32665/ |