Partially one-sided semiparametric inference for trending persistent and antipersistent processes

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Econometrics and Statistics, 2024, vol. 30, issue C, 1-14

Abstract: Hypothesis testing in models allowing for trending processes that are possibly nonstationary and non-Gaussian is considered. Using semiparametric estimators, joint hypothesis testing for these processes is developed, taking into account the one-sided nature of typical hypotheses on the persistence parameter in order to gain power. The results are applicable for a wide class of processes and are easy to implement. They are illustrated with an application to the dynamics of GDP.

Keywords: fractional integration and trends; partially one-sided joint hypotheses; fully-extended local Whittle estimation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14

DOI: 10.1016/j.ecosta.2021.12.007

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