An I() model with trend and cycles
Résumé
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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PEER_stage2_10.1016%2Fj.jeconom.2011.03.006.pdf (433.47 Ko)
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