Hi All,
I have time series data, and I want to check its trend. First, I used simple regression, including a time trend and the lag value of the variable. However, the persistence of volatility series makes traditional trend tests unreliable. Therefore, to address this issue, I used a method proposed by Vogelsang (1998), which is robust to I(0) and I(1) errors. I thank Clyde Schechter for the command of Vogelsang statistics.
Here is the link where Vogelsang's command is posted:
.
In addition, Bunzel and Vogelsang (2005) developed the t-dan test, which has better power than t-PS1 while retaining its good size properties. Paper name-
Bunzel, H., Vogelsang, T., 2005. Powerful trend function tests that are robust to strong serial correlation, with an application to the Prebisch–Singer hypothesis. Journal of Business and Economic Statistics 24, 381–394
Dataex-
Would anyone be able to help me with the code for Bunzel Statistic?
I have time series data, and I want to check its trend. First, I used simple regression, including a time trend and the lag value of the variable. However, the persistence of volatility series makes traditional trend tests unreliable. Therefore, to address this issue, I used a method proposed by Vogelsang (1998), which is robust to I(0) and I(1) errors. I thank Clyde Schechter for the command of Vogelsang statistics.
Here is the link where Vogelsang's command is posted:
Code:
https://www.statalist.org/forums/forum/general-stata-discussion/general/1696306-risk-measures/page5
In addition, Bunzel and Vogelsang (2005) developed the t-dan test, which has better power than t-PS1 while retaining its good size properties. Paper name-
Bunzel, H., Vogelsang, T., 2005. Powerful trend function tests that are robust to strong serial correlation, with an application to the Prebisch–Singer hypothesis. Journal of Business and Economic Statistics 24, 381–394
Dataex-
Code:
* Example generated by -dataex-. For more info, type help dataex clear input byte date2 float month int cal_year float(f_year ym bse_firm_specific_volatility) 2 4 1996 1997 435 8.840103e-07 2 5 1996 1997 436 7.067862e-07 3 6 1996 1997 437 7.98734e-07 1 7 1996 1997 438 8.541663e-07 1 8 1996 1997 439 7.961482e-07 2 9 1996 1997 440 8.514239e-07 1 10 1996 1997 441 1.0601209e-06 1 11 1996 1997 442 1.2193584e-06 2 12 1996 1997 443 1.281797e-06 1 1 1997 1997 444 1.382552e-06 3 2 1997 1997 445 9.07284e-07 1 3 1997 1997 446 1.1441133e-06 1 4 1997 1998 447 1.101648e-06 2 5 1997 1998 448 1.182003e-06 2 6 1997 1998 449 1.381447e-06 1 7 1997 1998 450 1.497713e-06 1 8 1997 1998 451 1.3976992e-06 1 9 1997 1998 452 1.2571772e-06 1 10 1997 1998 453 1.0096644e-06 4 11 1997 1998 454 1.2798042e-06 1 12 1997 1998 455 1.3014736e-06 1 1 1998 1998 456 1.379036e-06 2 2 1998 1998 457 1.3012112e-06 2 3 1998 1998 458 1.600069e-06 1 4 1998 1999 459 2.2050235e-06 4 5 1998 1999 460 1.711032e-06 1 6 1998 1999 461 2.830518e-06 1 7 1998 1999 462 1.9350143e-06 3 8 1998 1999 463 1.6976843e-06 1 9 1998 1999 464 1.4942316e-06 end format %tm ym
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