An I(d) model with trend and cycles

Karim M. Abadir, Walter Distaso and Liudas Giraitis ()

Journal of Econometrics, 2011, vol. 163, issue 2, 186-199

Abstract: 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.

Keywords: Fractional; integration; Trend; Cycle; Nonlinear; process; Whittle; objective; function (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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Working Paper: An I(d) Model with Trend and Cycles (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:163:y:2011:i:2:p:186-199

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