Estimating Deterministic Trends in the Presence of Serially Correlated Errors
AbstractThis paper studies the problems of estimation and inference in the linear trend model: yt=à+þt+ut, where ut follows an autoregressive process with largest root þ, and þ is the parameter of interest. We contrast asymptotic results for the cases þþþ
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0165.
Date of creation: Sep 1994
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Other versions of this item:
- Eugene Canjels & Mark W. Watson, 1997. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 184-200, May.
- Eugene Canjels & Mark W. Watson, 1994. "Estimating deterministic trends in the presence of serially correlated errors," Working Paper Series, Macroeconomic Issues 94-19, Federal Reserve Bank of Chicago.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
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