TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED- B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
未知时点趋势变动检验：OLS 稳健检验的固定 b 分析
This paper analyzes tests for a shift in the trend function of a time series at an unknown date based on ordinary least squares (OLS) estimates of the trend function. Inference about the trend parameters depends on the serial correlation structure of the data through the long-run variance (zero frequency spectral density) of the errors. Asymptotically pivotal tests can be obtained by the use of serial correlation robust standard errors that require an estimate of the…