Yang, Jingjing; Vogelsang, Timothy J. - In: 30th anniversary edition, (pp. 97-131). 2012
We analyze Lagrange Multiplier (LM) tests for a shift in trend of a univariate time series at an unknown date. We focus on the class of LM statistics based on nonparametric kernel estimates of the long run variance. Extending earlier work for models with nontrending data, we develop a fixed-b...