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.

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Year of publication:	2010-01
Authors:	Abadir, Karim M. ; Distaso, Walter ; Giraitis, Liudas
Institutions:	Rimini Centre for Economic Analysis (RCEA)
Subject:	fractional integration \| trend \| cycle \| nonlinear process \| Whittle objective function

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Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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