Tests for changes in models with a polynomial trend

In this paper, we propose a class of tests for changes in models with a polynomial trend, based on the ‘generalized fluctuation’ testing principle of Kuan and Hornik (1995). We derive the asymptotic null distributions of the proposed tests and tabulate their asymptotic critical values. We also show that these tests are consistent and have non-trivial local power against a wide class of alternatives. The simulation results suggest that the proposed tests can complement the existing tests in different time trend models.