Study of tests for trend in time series
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UFLA |
Texto Completo: | http://repositorio.ufla.br/jspui/handle/1/49708 |
Resumo: | The time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in the Metropolitan Region of S˜ao Paulo (RMSP), the Broad Consumer Price Index (IPCA) and the nominal Gross Domestic Product (GDP) of Brazil. It was found that the unit root tests showed similar results in relation to the presence of the stochastic trend for all series. Furthermore, the turning point of the Pettitt test diverged from all the structural breaks found through the Zivot and Andrews test, except for the GDP series. Therefore, it was found that the trend tests diverged, obtaining similar results only in relation to the unemployment series. |
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Study of tests for trend in time seriesEconomic seriesTemperature seriesStochastic and deterministic trendSérie econômicaSéries de temperaturaTendência estocástica e determinísticaThe time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in the Metropolitan Region of S˜ao Paulo (RMSP), the Broad Consumer Price Index (IPCA) and the nominal Gross Domestic Product (GDP) of Brazil. It was found that the unit root tests showed similar results in relation to the presence of the stochastic trend for all series. Furthermore, the turning point of the Pettitt test diverged from all the structural breaks found through the Zivot and Andrews test, except for the GDP series. Therefore, it was found that the trend tests diverged, obtaining similar results only in relation to the unemployment series.Universidade Federal de Lavras2022-04-07T20:24:37Z2022-04-07T20:24:37Z2021info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfPAIVA, D. de A.; SÁFADI, T. Study of tests for trend in time series. Brazilian Journal of Biometrics, [S. l.], v. 39, n. 2, p. 311-333, 2021. DOI: 10.28951/rbb.v39i2.471.http://repositorio.ufla.br/jspui/handle/1/49708Brazilian Journal of Biometricsreponame:Repositório Institucional da UFLAinstname:Universidade Federal de Lavras (UFLA)instacron:UFLAAttribution-NonCommercial 4.0 Internationalhttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccessPaiva, Denise de AssisSáfadi, Thelmaeng2022-04-07T20:24:37Zoai:localhost:1/49708Repositório InstitucionalPUBhttp://repositorio.ufla.br/oai/requestnivaldo@ufla.br || repositorio.biblioteca@ufla.bropendoar:2022-04-07T20:24:37Repositório Institucional da UFLA - Universidade Federal de Lavras (UFLA)false |
dc.title.none.fl_str_mv |
Study of tests for trend in time series |
title |
Study of tests for trend in time series |
spellingShingle |
Study of tests for trend in time series Paiva, Denise de Assis Economic series Temperature series Stochastic and deterministic trend Série econômica Séries de temperatura Tendência estocástica e determinística |
title_short |
Study of tests for trend in time series |
title_full |
Study of tests for trend in time series |
title_fullStr |
Study of tests for trend in time series |
title_full_unstemmed |
Study of tests for trend in time series |
title_sort |
Study of tests for trend in time series |
author |
Paiva, Denise de Assis |
author_facet |
Paiva, Denise de Assis Sáfadi, Thelma |
author_role |
author |
author2 |
Sáfadi, Thelma |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Paiva, Denise de Assis Sáfadi, Thelma |
dc.subject.por.fl_str_mv |
Economic series Temperature series Stochastic and deterministic trend Série econômica Séries de temperatura Tendência estocástica e determinística |
topic |
Economic series Temperature series Stochastic and deterministic trend Série econômica Séries de temperatura Tendência estocástica e determinística |
description |
The time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in the Metropolitan Region of S˜ao Paulo (RMSP), the Broad Consumer Price Index (IPCA) and the nominal Gross Domestic Product (GDP) of Brazil. It was found that the unit root tests showed similar results in relation to the presence of the stochastic trend for all series. Furthermore, the turning point of the Pettitt test diverged from all the structural breaks found through the Zivot and Andrews test, except for the GDP series. Therefore, it was found that the trend tests diverged, obtaining similar results only in relation to the unemployment series. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021 2022-04-07T20:24:37Z 2022-04-07T20:24:37Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
PAIVA, D. de A.; SÁFADI, T. Study of tests for trend in time series. Brazilian Journal of Biometrics, [S. l.], v. 39, n. 2, p. 311-333, 2021. DOI: 10.28951/rbb.v39i2.471. http://repositorio.ufla.br/jspui/handle/1/49708 |
identifier_str_mv |
PAIVA, D. de A.; SÁFADI, T. Study of tests for trend in time series. Brazilian Journal of Biometrics, [S. l.], v. 39, n. 2, p. 311-333, 2021. DOI: 10.28951/rbb.v39i2.471. |
url |
http://repositorio.ufla.br/jspui/handle/1/49708 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
Attribution-NonCommercial 4.0 International http://creativecommons.org/licenses/by-nc/4.0/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NonCommercial 4.0 International http://creativecommons.org/licenses/by-nc/4.0/ |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Lavras |
publisher.none.fl_str_mv |
Universidade Federal de Lavras |
dc.source.none.fl_str_mv |
Brazilian Journal of Biometrics reponame:Repositório Institucional da UFLA instname:Universidade Federal de Lavras (UFLA) instacron:UFLA |
instname_str |
Universidade Federal de Lavras (UFLA) |
instacron_str |
UFLA |
institution |
UFLA |
reponame_str |
Repositório Institucional da UFLA |
collection |
Repositório Institucional da UFLA |
repository.name.fl_str_mv |
Repositório Institucional da UFLA - Universidade Federal de Lavras (UFLA) |
repository.mail.fl_str_mv |
nivaldo@ufla.br || repositorio.biblioteca@ufla.br |
_version_ |
1807835065279840256 |