Estimating average economic growth in time series data with persistency
This paper studies estimation of deterministic trends in time series models with persistency. In particular, a joint estimation of the trend coefficient and the autoregressive parametere is proposed and asympototic analysis on the nonlinear estimator is provided. The joint estimator is compared with several conventional trend estimators. Monte Carlo experiments indicate that the proposed estimators have good finite sample performance. We use these procedures to estimate growth rates for real GNP and consumer price index in 40 countries.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Magee, L., 1985.
"A note on Cochrane - Orcutt estimation,"
CORE Discussion Papers
1985019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter C. B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(02), pages 200-212, June.
- 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.
- Xiao, Zhijie & Phillips, Peter C.B., 1999. "Efficient Detrending In Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 15(04), pages 519-548, August.
- Peter C.B. Phillips & Chin Chin Lee, 1996. "Efficiency Gains from Quasi-Differencing Under Nonstationarity," Cowles Foundation Discussion Papers 1134, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1993.
"Robust Nonstationary Regression,"
Cowles Foundation Discussion Papers
1064, Cowles Foundation for Research in Economics, Yale University.
- Granger, E.J. & Swanson, N.R., 1996.
"An introduction to stochastic Unit Root Processes,"
4-96-3, Pennsylvania State - Department of Economics.
- Steven N. Durlauf & Peter C.B. Phillips, 1986.
"Trends Versus Random Walks in Time Series Analysis,"
Cowles Foundation Discussion Papers
788, Cowles Foundation for Research in Economics, Yale University.
- Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, vol. 56(6), pages 1333-1354, November.
- Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
- Potscher, Benedikt M. & Prucha, Ingmar R., 1986. "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, vol. 32(2), pages 219-251, July.
- 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.
- 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," NBER Technical Working Papers 0165, National Bureau of Economic Research, Inc.
- Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
- Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-128, January.
- Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:26:y:2004:i:4:p:699-724. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.