This paper examines the behaviour of some recently proposed robust (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We demonstrate that the asymptotic size and/or local power properties of these tests are extremely sensitive to the initial condition. Straightforward modifications to the trend tests are suggested, based around the use of trimmed data, which are demonstrated to greatly reduce this sensitivity.
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David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor
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School of EconomicsUniversity of Nottingham
Nottingham, NG7 2RD
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