An I(d) Model with Trend and Cycles

32 Pages Posted: 14 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Walter Distaso

Imperial College Business School

Liudas Giraitis

University of York - Department of Mathematics and Economics

Date Written: March 14, 2011

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.

Suggested Citation

Abadir, Karim M. and Distaso, Walter and Giraitis, Liudas, An I(d) Model with Trend and Cycles (March 14, 2011). Available at SSRN: https://ssrn.com/abstract=1984832 or http://dx.doi.org/10.2139/ssrn.1984832

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, 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, 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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