An I( d ) model with trend and cycles

• Published in: Journal of econometrics Vol. 163; no. 2; pp. 186 - 199
• Main Authors: Abadir, Karim M., Distaso, Walter, Giraitis, Liudas
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01-08-2011; Elsevier; Elsevier Sequoia S.A
• Series: Journal of Econometrics
• Subjects: Applications; Asymptotic methods; Confidence intervals; Cycle; Econometric models; Econometrics; Economic models; Economic theory; Error analysis; Error correction models; Exact sciences and technology; Fractional integration; Fractional integration Trend Cycle Nonlinear process Whittle objective function; Insurance, economics, finance; Mathematics; Model testing; Non-linear models; Nonlinear process; Nonparametric inference; Parametric inference; Probability and statistics; Sciences and techniques of general use; Statistics; Studies; Trend; Whittle objective function; Whittle objective function; Trend; C22; Fractional integration; Cycle; Nonlinear process; Error estimation; Non parametric estimation; Statistical estimation; Non stationary process; Implementation; Confidence interval; Statistical method; Non linear process; Trend analysis; Objective function; Econometrics
• ISSN: 0304-4076; 1872-6895
• DOI: 10.1016/j.jeconom.2011.03.006

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.