An I(\(d\)) model with trend and cycles

DOI10.1016/j.jeconom.2011.03.006zbMath1441.62573OpenAlexW3121724724MaRDI QIDQ737963

Walter Distaso, Liudas Giraitis, Karim M. Abadir

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.006

zbMATH Keywords

trendcyclefractional integrationnonlinear processWhittle objective function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Modified information criteria and selection of long memory time series models ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ Spectral approach to parameter-free unit root testing ⋮ Testing for a break in trend when the order of integration is unknown ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Semiparametric Detection of Changes in Long Range Dependence

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• Efficiency improvements in inference on stationary and nonstationary fractional time series
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• Linear Trend with Fractionally Integrated Errors
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• The Invariance Principle for Stationary Processes

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