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An investigation into a non-linear stochastic trend model

Author

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  • Klaus Neusser

    () (University of Berne, Department of Economics, Gesellschaftsstrasse 49, CH-3012 Berne, Switzerland)

Abstract

The paper explores the empirical properties of a non-linear stochastic trend model which can be viewed as an intermediate case between a linear and a log-linear trend model. I assess the small sample distribution of the ML estimator by Monte Carlo simulations and use it to model some typical macroeconomic time series. The non-linear trend model turns out to be an important tool which warrants further analysis. I also compute impulse response functions and compare them with those obtained from a conventional linear model.

Suggested Citation

  • Klaus Neusser, 1999. "An investigation into a non-linear stochastic trend model," Empirical Economics, Springer, vol. 24(1), pages 135-153.
  • Handle: RePEc:spr:empeco:v:24:y:1999:i:1:p:135-153
    Note: received: August 1997/final version received: June 1998
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    Cited by:

    1. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.

    More about this item

    Keywords

    Non-linear trend · impulse response;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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