An I() model with trend and cycles
This 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.
|Date of creation:||15 Jun 2011|
|Date of revision:|
|Publication status:||Published, Journal of Econometrics, 2011|
|Note:||View the original document on HAL open archive server: http://peer.ccsd.cnrs.fr/peer-00834425|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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