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An I(d) Model with Trend and Cycles

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Author Info

  • 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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File URL: http://www.rcfea.org/RePEc/pdf/wp18_10.pdf
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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. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Velasco, Carlos, . "Gaussian semiparametric estimation of non-stationary time series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4555, Universidad Carlos III de Madrid.
  3. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
  4. 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.
  5. Velasco, Carlos, . "Nonparametric frequency domain analysis of nonstationary multivariate time series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4357, Universidad Carlos III de Madrid.
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