MARC details
| 000 -LEADER |
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| fixed length control field |
02163nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240327095713.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240327b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Harvey,David I. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Simple, robust, and powerful tests of the breaking trend hypothesis |
| Statement of responsibility, etc. |
by David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric Theory |
| Volume/sequential designation |
Volume 25, number 4 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
In this paper we develop a simple procedure which delivers tests for the presence of a broken trend in a univariate time series which do not require knowledge of the form of serial correlation in the data and are robust as to whether the shocks are generated by an I(0) or an I(1) process. Two trend break models are considered: the first holds the level fixed while allowing the trend to break, while the latter allows for a simultaneous break in level and trend. For the known break date case our proposed tests are formed as a weighted average of the optimal tests appropriate for I(0) and I(1) shocks. The weighted statistics are shown to have standard normal limiting null distributions and to attain the Gaussian asymptotic local power envelope, in each case regardless of whether the shocks are I(0) or I(1). In the unknown break date case we adopt the method of Andrews (1993) and take a weighted average of the statistics formed as the supremum over all possible break dates, subject to a trimming parameter, in both the I(0) and I(1) environments. Monte Carlo evidence suggests that our tests are in most cases more powerful, often substantially so, than the robust broken trend tests of Sayginsoy and Vogelsang (2004). An empirical application highlights the practical usefulness of our proposed tests. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Time series analysis |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Leybourne, Stephen J. |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Taylor, A. M. Robert |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
10.1017/S0266466608090373 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |