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摘要翻译：
针对具有一般非线性确定性趋势分量的时间序列，提出了一种单位根检验方法。证明了重叠块的集合OLS估计渐近滤除满足Lipschitz条件的任何趋势分量。在固定B$和小B$块渐近条件下，导出了单位根假设T统计量的极限分布。干扰参数校正提供异方差稳健性测试，序列相关性通过预白化来说明。一个蒙特卡罗研究，考虑缓慢变化的趋势产生了良好的规模和改进的功率结果时，提出的测试相比于传统的单位根测试。
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英文标题：
《Unit Root Testing with Slowly Varying Trends》
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作者：
Sven Otto
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some Lipschitz condition. Under both fixed-$b$ and small-$b$ block asymptotics, the limiting distribution of the t-statistic for the unit root hypothesis is derived. Nuisance parameter corrections provide heteroskedasticity-robust tests, and serial correlation is accounted for by pre-whitening. A Monte Carlo study that considers slowly varying trends yields both good size and improved power results for the proposed tests when compared to conventional unit root tests.
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PDF链接：
https://arxiv.org/pdf/2003.04066
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