An I(d) Model with Trend and Cycles

Karim M. Abadir (), Walter Distaso () and Liudas Giraitis ()
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Karim M. Abadir: Imperial College Business School, Imperial College London, London, UK
Walter Distaso: Imperial College Business School, Imperial College London, London, UK

Working Paper series from Rimini Centre for Economic Analysis

Abstract: This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement.

Keywords: fractional integration; trend; cycle; nonlinear process; Whittle objective function (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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http://www.rcea.org/RePEc/pdf/wp18_10.pdf

Related works:
Journal Article: An I(d) model with trend and cycles (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18_10

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