An I(\(d\)) model with trend and cycles

DOI10.1016/j.jeconom.2011.03.006zbMath1441.62573MaRDI QIDQ737963

Walter Distaso, Liudas Giraitis, Karim M. Abadir

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.006

zbMATH Keywords

trend; cycle; fractional integration; nonlinear process; Whittle objective function

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Robust testing of time trend and mean with unknown integration order errors, Semiparametric Detection of Changes in Long Range Dependence, Modified information criteria and selection of long memory time series models, Spectral approach to parameter-free unit root testing, Whittle-type estimation under long memory and nonstationarity, Efficient tapered local Whittle estimation of multivariate fractional processes, Testing for a break in trend when the order of integration is unknown

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