Robust tests for a linear trend with an application to equity indices

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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...

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Bibliographic Details
Main Authors:	Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert
Format:	Article
Published:	Elsevier 2014
Subjects:	Linear trend; Unit root tests; Strong serial correlation
Online Access:	https://eprints.nottingham.ac.uk/32665/

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