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.

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Year of publication:	2011-06-15
Authors:	Abadir, Karim M. ; Distaso, Walter ; Giraitis, Liudas
Institutions:	HAL
Subject:	Fractional integration \| Trend \| Cycle \| Nonlinear process \| Whittle objective function

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://peer.ccsd.cnrs.fr/peer-00834425 Published, Journal of Econometrics, 2011
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010821058