Semiparametric estimation and inference for trending I(d) and related processes
AbstractThis paper deals with estimation and hypothesis testing in stationary and nonstationary models with a linear trend. Using semiparametric estimators, we obtain asymptotic confidence intervals for mean, trend, and memory parameters. The confidence intervals are applicable for a wide class of processes (including some nonlinear processes), exhibit high coverage accuracy and are easy to implement. We also develop joint hypothesis testing for these parameters, when the alternative for the memory parameter is one-sided, but the ones for the deterministic components are two-sided. We use our results to show that US GDP has less memory than is implied by a unit root, and that it evolves around a deterministic trend. This result has important implications for macroeconomic stabilization policies.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 05/15.
Date of creation:
Date of revision:
Contact details of provider:
Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005.
"Nelson-Plosser Revisited: the ACF Approach,"
2005_7, Business School - Economics, University of Glasgow.
- Christian Macaro, 2007. "The Impact of Vintage on the Persistence of Gross Domestic Product Shocks," CEIS Research Paper 101, Tor Vergata University, CEIS.
- Macaro, Christian, 2008. "The impact of vintage on the persistence of gross domestic product shocks," Economics Letters, Elsevier, vol. 98(3), pages 301-308, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paul Hodgson).
If references are entirely missing, you can add them using this form.