IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v24y2017i14p991-994.html
   My bibliography  Save this article

Fractional integration and nonlinear deterministic trends in the analysis of time series data

Author

Listed:
  • Luis A. Gil-Alana
  • Hector Carcel

Abstract

This article examines the interaction between fractional integration and nonlinear structures by using for the latter the Chebyshev polynomials in time that can be taken as an alternative, less abrupt way of modelling breaks in time series data. A Lagrange multiplier test, developed for testing the order of integration in the context of nonlinear deterministic trends, is implemented in three well-known and previously studied time series data: the Nile river data, the temperatures in the Northern hemisphere and CO2 emissions in the US. The results suggest that the second and especially the third time series display nonlinear behaviour still with fractional degrees of differentiation.

Suggested Citation

  • Luis A. Gil-Alana & Hector Carcel, 2017. "Fractional integration and nonlinear deterministic trends in the analysis of time series data," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 991-994, August.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:14:p:991-994
    DOI: 10.1080/13504851.2016.1245832
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2016.1245832
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2016.1245832?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:24:y:2017:i:14:p:991-994. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.