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

From: abunn <abunn_at_whrc.org>
Date: Fri 11 Mar 2005 - 02:30:11 EST


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

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Mar 11 02:56:16 2005

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