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

Abstract: We provide tests to perform inference on the coe¢ 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- Ödence intervals; quasi-GLS procedure. (search for similar items in EconPapers)
Pages: 17
Date: 2013-06
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