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Testing for a trend with persistent errors
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DOI：10.1016/j.jeconom.2020.03.006.png)
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Abstract
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We develop new tests for the coefficient on a time trend in a regression of a variable on a constant and time trend where there is potentially strong serial correlation. This serial correlation can also include a unit root. We obtain tests under two different assumptions on the initial value for the stochastic component of the variable being examined, either this being zero asymptotically and also allowing the initial condition to be drawn from its unconditional distribution. We find that statistics perform better under the second of these assumptions, which is the more natural assumption to make. (c) 2020 Elsevier B.V. All rights reserved.
Keywords:
Composite hypothesis
Trend
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