An I(d) Model with Trend and Cycles
AbstractThis 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 InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 18_10.
Date of creation: Jan 2010
Date of revision:
fractional integration; trend; cycle; nonlinear process; Whittle objective function;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-26 (All new papers)
- NEP-ECM-2010-06-26 (Econometrics)
- NEP-ETS-2010-06-26 (Econometric Time Series)
- NEP-ORE-2010-06-26 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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