Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations
Jiawen Xu and
Pierre Perron ()
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Jiawen Xu: Shanghai University of Finance and Economics and Key Laboratory of Mathematical Economics
No 2013-006, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics
We provide tests to perform inference on the coeÂ¢ cients of a linear trend assuming the noise to be a fractionally integrated process with memory parameter d 2 (
Keywords: fractional integration; long-memory; linear time trend; inference; con- OÌˆdence intervals; quasi-GLS procedure. (search for similar items in EconPapers)
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http://www.bu.edu/econ/files/2014/05/Perron-Robust ... trend-March-2013.pdf First version, 2013 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:bos:wpaper:wp2013-006
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