Estimating Deterministic Trends in the Presence of Serially Correlated Errors

Eugene Canjels and Mark Watson

No 165, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper studies the problems of estimation and inference in the linear trend model: yt=à+þt+ut, where ut follows an autoregressive process with largest root þ, and þ is the parameter of interest. We contrast asymptotic results for the cases þþþ

JEL-codes: C22 (search for similar items in EconPapers)
Date: 1994-09
Note: EFG
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Citations: View citations in EconPapers (1)

Published as Canjels, Eugene and Mark W. Watson. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," Review of Economics and Statistics, 1997, v79(2,May), 184-200.

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Related works:
Working Paper: Estimating deterministic trends in the presence of serially correlated errors (1994)
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