Estimating Average Economic Growth in Time Series Data with Persistency

Qifang Xiao and Zhijie Xiao
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Qifang Xiao: U of Illinois at Urbana-Champaign

Working Papers from University of Illinois at Urbana-Champaign, College of Business

Abstract: This paper studies estimation of deterministic trends in time series models with persistency. In particular, a joint estimation of the trend coefficient and the autoregressive parametere is proposed and asympototic analysis on the nonlinear estimator is provided. The joint estimator is compared with several conventional trend estimators. Monte Carlo experiments indicate that the proposed estimators have good finite sample performance. We use these procedures to estimate growth rates for real GNP and consumer price index in 40 countries.

JEL-codes: C13 C33 (search for similar items in EconPapers)
Date: 2003
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Journal Article: Estimating average economic growth in time series data with persistency (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:illbus:03-0111

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