A simple, robust and powerful test of the trend hypothesis

By David I. Harvey, S. Leybourne, Alan M. Taylor. 2007

83 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e7e0f15578d231357ac3474b0d40f4d5cfcc3d4d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Statistics and Probability

Citations in the corpus

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (2009, unknown): “The tλ statistic of Harvey et al. (2007) is a switching-based strategy that attains the local limiting Gaussian power envelope for testing β = 0 against β 6= 0 in (1) irrespective of whether ut is I(1) or I(0).”
On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach (2010, unknown): “thereby cotrending) hypothesis, as recently developed in Harvey et al. (2007) .”
Estimating deterministic trends with an integrated or stationary noise component (2009, methodology): “Bunzel and Vogelsang (2005) and Harvey et al. (2007) .”
Short Interest and Aggregate Stock Returns (2016, methodology): “Harvey, Leybourne, and Taylor (2007) develop a test that is robust to the degree of persistence in ut (unit root, local-to-unit root, or stationary), and their test clearly indicates that b is significant in Eq.”
A Powerful Test for Linearity When the Order of Integration is Unknown (2007, methodology): “The standard tests of the null of linearity against a nonlinear alternative, proposed by Terasvirta (1994) and Luukkonen et al. (1988), rely on an assumption of I(0) behaviour in the underlying series.”
The Prebisch-Singer Hypothesis: Four Centuries of Evidence (2010, methodology): “In addition to the new data, this paper also applies new time-series techniques by Harvey et al. (2007, 2009) to assess the trend function and the existence of any possible structural breaks.”