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Abstract
We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM) principle. Thus, it has standard null and local asymptotic distributions. However, finite-sample critical values of the tests are evaluated and, an empirical application using historical annual data, is also carried out at the end of the article.
†The author gratefully acknowledges the financial support from the European TMR Grant No. ERBFMRX-CT-98-0213. Comments of an anonymous referee are also acknowledged.
†The author gratefully acknowledges the financial support from the European TMR Grant No. ERBFMRX-CT-98-0213. Comments of an anonymous referee are also acknowledged.
Notes
†The author gratefully acknowledges the financial support from the European TMR Grant No. ERBFMRX-CT-98-0213. Comments of an anonymous referee are also acknowledged.