[R] Vogelsang test? RATS? Time series analysis.

abunn
Thu, 10 Mar 2005 15:30:11 -0000

Has anybody implemented the Vogelsang test from Vogelsang's 1998
Econometrica paper? Or the tests by Fomby and Vogelsang from their 2002
paper?

I have been looking for trends in many time series (1000's) with unknown
autocorrelation. In brief, I have fit AR models  and classified them as
stochastic or deterministic with augmented Dickey-Fuller tests. A colleague
has suggested that we use a "new and more elegant test" that is robust
to
the nature of serial correlation in the residuals and pointed me the RATS
program in general and Fomby and Vogelsang test in particular.

Any leads appreciated, Andy

~~~~~~~~~~~~~~
Fomby TB, Vogelsang TJ, The application of size-robust trend statistics to
global-warming temperature series. JOURNAL OF CLIMATE 15 (1): 117-123 2002
Vogelsang TJ, Trend function hypothesis testing in the presence of serial
correlation. ECONOMETRICA 66 (1): 123-148 1998