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:	2011
Authors:	Abadir, Karim M. ; Distaso, Walter ; Giraitis, Liudas
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 163.2011, 2, p. 186-199
Publisher:	Elsevier
Keywords:	Fractional integration Trend Cycle Nonlinear process Whittle objective function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143150