An I() model with trend and cycles

Karim M. Abadir (), Walter Distaso () and Liudas Giraitis ()
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Karim M. Abadir: Imperial College London
Walter Distaso: Imperial College London
Liudas Giraitis: Department of Economics - Department of Economics

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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: C22; Fractional integration; Trend; Cycle; Nonlinear process; Whittle objective function (search for similar items in EconPapers)
Date: 2011-06-15
Note: View the original document on HAL open archive server: https://hal.science/hal-00834425
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Citations: View citations in EconPapers (9)

Published in Econometrics, 2011, ⟨10.1016/j.jeconom.2011.03.006⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00834425

DOI: 10.1016/j.jeconom.2011.03.006

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