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

27 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 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.

Suggested Citation

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

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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