Abstract #300803

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JSM 2003 Abstract #300803
Activity Number: 328
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300803
Title: A Nonparametric Test for Changing Trends
Author(s): Ted P. Juhl*+
Companies: University of Kansas
Address: Dept. of Economics, Lawrence, KS, 66045-0001,
Keywords: nonparametric ; structural change ; trends
Abstract:

We propose a nonparametric test for changing trends.The tests are similar in spirit to nonparametric conditional moment tests such as Fan and Li (1999) and Zheng (1996). The resulting statistics have a standard normal distribution. An analysis of local power reveals that the new tests have non-trivial power in all directions. A Monte Carlo experiment suggests that the tests have good power against changes in a linear trend.

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