Trend Function Hypothesis Testing in the Presence of Serial Correlation

Vogelsang, Timothy J.

doi:10.2307/2998543

Cited by 270 publications

(315 citation statements)

References 8 publications

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“…In Monte Carlo simulations, Vogelsang (1998) finds the values of b and m for which the above tests would be comparable and valid for every type of serial correlation form, including unit roots.…”

Section: Convergence Methodologymentioning

confidence: 99%

“…A new test by Vogelsang (1998Vogelsang ( , 1999 deals with the b-convergence issue by relying on timeseries methodology. Following this literature, we consider a simple model of convergence towards a benchmark as…”

Section: Convergence Methodologymentioning

confidence: 99%

“…Carlino and Mills (1993) developed this test with a very restricted form of serial correlation for the residual term, namely AR(2). Vogelsang (1998) extended the analysis of this specification to u t with an unknown form of serial correlation by allowing a span of stationary and non-stationary serial correlation specifications for the error term ranging from integration of order zero, I(0), to of order one, I(1). Since the possibility of no convergence implies nonstationarity of the error terms, one can draw a false inference on the trend coefficient when the errors are assumed to be stationary AR(2).…”

Section: Convergence Methodologymentioning

confidence: 99%

“…Since the possibility of no convergence implies nonstationarity of the error terms, one can draw a false inference on the trend coefficient when the errors are assumed to be stationary AR(2). 7 Vogelsang's (1998) methodology, in the spirit of Eq. (1), considers the following Partial Sums with J correction (PSW) test statistic that helps to alleviate the above problems.…”

Section: Convergence Methodologymentioning

confidence: 99%

“…However, the need to meet the EU criteria for full EMU membership has regenerated interest in absolute convergence. A recent test developed by Vogelsang (1998Vogelsang ( , 1999 and applied in the context of Carlino and Mills (1993) by Tomljanovich and Vogelsang (2002) is particularly suitable for analyzing absolute convergence. In addition to the flexibility of this test in being able to derive convergence estimates reliably, it also allows for possible structural breaks, which is critical in drawing correct inferences about convergence.…”

Section: Introductionmentioning

confidence: 99%

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Pilgrims to the Eurozone: How far, how fast?

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In our analysis, we re-examine the nominal and real convergence of all recent 10 European Union (EU) members to EU standards. Testing for monetary convergence has significant implications for interim optimal exchange rate and monetary policies before a formal and permanent link to the euro, while real convergence is the ultimate objective of economic integration. Novel features of the paper include broader measures of real convergence in both euro as well as local currencies, an examination of inflation and interest rate convergence with respect to the Maastricht benchmarks, and employment of more appropriate tests of convergence allowing for structural breaks. The results indicate slow but steady per-capita real income convergence towards EU standards. On the other hand, evidence indicates significant strong inflation and interest rate convergence. Policy implications of the paper are also discussed. #

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Section: Convergence Methodologymentioning

confidence: 99%

Section: Convergence Methodologymentioning

confidence: 99%

Section: Convergence Methodologymentioning

confidence: 99%

Section: Convergence Methodologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Pilgrims to the Eurozone: How far, how fast?

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Trend, Detecting

Woodward¹

2001

Encyclopedia of Environmetrics

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Trend Detecting

Woodward

2012

Encyclopedia of Environmetrics

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This article discusses the problem of testing for trend in time series data, which is a difficult problem because, among other things, there is not a unified definition of trend. A variety of trend definitions are given and the distinction between deterministic and random trends is discussed. Simulated realizations with random trends are shown along with the global temperature data, and the issues related to deciding whether an apparent trend is deterministic or random are discussed. We examine classical tests for linear trend and discuss the inflated observed significance levels associated with many of these tests. Several tests are presented that have been developed to better control the observed significance level. Also discussed is the problem of using nonparametric methods to test for more general types of trend, such as monotonic trends, that may have no known functional form.

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Trend Function Hypothesis Testing in the Presence of Serial Correlation

Cited by 270 publications

References 8 publications

Pilgrims to the Eurozone: How far, how fast?

Pilgrims to the Eurozone: How far, how fast?

Trend, Detecting

Trend Detecting

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