Economics at your fingertips  

Do we need a stochastic trend in cay estimation? Yes

Marcella Lucchetta (), Michele Costola (), Lorenzo Frattarolo and Antonio Paradiso ()
Additional contact information
Michele Costola: Research Center SAFE, Goethe University Frankfurt.
Lorenzo Frattarolo: Department of Economics, University Of Venice Cà Foscari

No 2016:24, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: The paper investigates the importance of modeling in cay estimations from a statistical and economic perspective by observing the stochastic trend, a thus far neglected component. In order to do this, we perform an empirical analysis on US secular annual data from 1900 to 2015 considering the cay with non-durables and services and the cay with total consumption expenditure. Findings show the usefulness of including the stochastic trend in cay estimation. Furthermore, out-of-sample statistical and economic significance tests show the ability of the cay model with trend to outperform the traditional cay measure.

JEL-codes: E21 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... a_paradiso_24_16.pdf First version, anno (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Geraldine Ludbrook ().

Page updated 2020-01-09
Handle: RePEc:ven:wpaper:2016:24