INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN. (29th December 2014)
- Record Type:
- Journal Article
- Title:
- INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN. (29th December 2014)
- Main Title:
- INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN
- Authors:
- Gao, Jiti
Robinson, Peter M. - Abstract:
- Abstract : A semiparametric model is proposed in which a parametric filtering of a nonstationary time series, incorporating fractionally differencing with short memory correction, removes correlation but leaves a nonparametric deterministic trend. Estimates of the memory parameter and other dependence parameters are proposed, and shown to be consistent and asymptotically normally distributed with parametric rate. Tests with standard asymptotics for I (1) and other hypotheses are thereby justified. Estimation of the trend function is also considered. We include a Monte Carlo study of finite-sample performance.
- Is Part Of:
- Econometric theory. Volume 32:Number 2(2016:Apr.)
- Journal:
- Econometric theory
- Issue:
- Volume 32:Number 2(2016:Apr.)
- Issue Display:
- Volume 32, Issue 2 (2016)
- Year:
- 2016
- Volume:
- 32
- Issue:
- 2
- Issue Sort Value:
- 2016-0032-0002-0000
- Page Start:
- 431
- Page End:
- 457
- Publication Date:
- 2014-12-29
- Subjects:
- Econometrics -- Periodicals
330.01519505 - Journal URLs:
- http://journals.cambridge.org/action/displayJournal?jid=ECT ↗
- DOI:
- 10.1017/S0266466614000875 ↗
- Languages:
- English
- ISSNs:
- 0266-4666
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital Store
- Ingest File:
- 501.xml