An I(d) 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:||Jan 2010|
|Date of revision:|
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- ANDREWS, DONALD W & Sun, Yixiao X, 2002.
"Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence,"
University of California at San Diego, Economics Working Paper Series
qt9wt048tt, Department of Economics, UC San Diego.
- Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, 03.
- Donald W.K. Andrews & Yixiao Sun, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers 1384, Cowles Foundation for Research in Economics, Yale University.
- Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006.
"Consistent estimation of the memory parameterfor nonlinear time series,"
STICERD - Econometrics Paper Series
/06/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 211-251, 03.
- V Dalla & L Giraitis & J Hidalgo, . "Consistent estimation of the memory parameter for nonlinear time series," Discussion Papers 05/17, Department of Economics, University of York.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
- Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
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