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Tests for Trend: a Simulation Study
Linnaeus University, Faculty of Business, Economics and Design, Linnaeus School of Business and Economics. (Economics and Statistics, CAFO)
2010 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 39, no 3, p. 598-611Article in journal (Refereed) Published
Abstract [en]

In this study, we use the wavelet analysis to construct a test statistic to test for the existence of a trend in the series. We also propose a new approach for testing the presence of trend based on the periodogram of the data. Since we are also interested in the presence of a long-memory process among the data, we study the properties of our test statistics under different degrees of dependency. We compare the results when using the band periodogram test and the wavelet test with results obtained by applying the ordinary least squares (OLS) method under the same conditions.

Place, publisher, year, edition, pages
Taylor & Francis , 2010. Vol. 39, no 3, p. 598-611
Keywords [en]
Wavelet, Long Memory, Band periodogram, Discrete wavelet transform, Fractional difference processes
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:vxu:diva-6782DOI: 10.1080/03610910903528327OAI: oai:DiVA.org:vxu-6782DiVA, id: diva2:287504
Available from: 2010-01-18 Created: 2010-01-18 Last updated: 2017-12-12Bibliographically approved

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Almasri, Abdullah

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