Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096584 | Journal of Econometrics | 2011 | 14 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Karim M. Abadir, Walter Distaso, Liudas Giraitis,