An investigation into a non-linear stochastic trend model

Klaus Neusser ()

Empirical Economics, 1999, vol. 24, issue 1, 135-153

Abstract: The paper explores the empirical properties of a non-linear stochastic trend model which can be viewed as an intermediate case between a linear and a log-linear trend model. I assess the small sample distribution of the ML estimator by Monte Carlo simulations and use it to model some typical macroeconomic time series. The non-linear trend model turns out to be an important tool which warrants further analysis. I also compute impulse response functions and compare them with those obtained from a conventional linear model.

Keywords: Non-linear; trend; ·; impulse; response (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 1999-02-11
Note: received: August 1997/final version received: June 1998
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Citations: View citations in EconPapers (1)

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