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An I(d) Model with Trend and Cycles

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  • Karim M. Abadir

    ()
    ( Imperial College Business School, Imperial College London, London, UK)

  • Walter Distaso

    ()
    ( Imperial College Business School, Imperial College London, London, UK)

  • Liudas Giraitis

    ()
    ( Department of Economics, Queen Mary, University of London, London, UK)

Abstract

This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement.

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Bibliographic Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 18_10.

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Date of creation: Jan 2010
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Handle: RePEc:rim:rimwps:18_10

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Keywords: fractional integration; trend; cycle; nonlinear process; Whittle objective function;

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  1. Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, 03.
  2. V Dalla & L Giraitis & J Hidalgo, . "Consistent estimation of the memory parameter for nonlinear time series," Discussion Papers 05/17, Department of Economics, University of York.
  3. Cremers, Heinz & Kadelka, Dieter, 1986. "On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in LEP," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 305-317, February.
  4. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
  5. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
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Cited by:
  1. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  2. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.

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