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Semiparametric Estimation and Inference for Trending I(D) and Related Processes


Karim M. Abadir


Imperial College Business School

Walter Distaso


Imperial College Business School

Liudas Giraitis


University of York - Department of Mathematics and Economics
March 12, 2007


Abstract:     
This paper deals with estimation and hypothesis testing in models allowing for trending processes that are possibly nonstationary, nonlinear, and non-Gaussian. Using semi-parametric estimators, we obtain asymptotic confidence intervals for the trend and memory parameters, and we develop joint hypothesis testing for these. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement.

Number of Pages in PDF File: 27

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Date posted: January 14, 2012  

Suggested Citation

Abadir, Karim M., Distaso, Walter and Giraitis, Liudas, Semiparametric Estimation and Inference for Trending I(D) and Related Processes (March 12, 2007). Available at SSRN: http://ssrn.com/abstract=1985168 or http://dx.doi.org/10.2139/ssrn.1985168

Contact Information

Karim M. Abadir (Contact Author)
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE
Walter Distaso
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
Liudas Giraitis
University of York - Department of Mathematics and Economics ( email )
Heslington, York YO10 5DD
United Kingdom
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References:  38
Citations:  2

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