Fractional integration and nonlinear deterministic trends in the analysis of time series data. Issue 14 (16th August 2017)

• Record Type: Journal Article
• Authors: Gil-Alana, Luis A.; Carcel, Hector
• Is Part Of: Applied economics letters. Volume 24:Issue 14(2017)
• Page Start: 991
• Page End: 994
• Publication Date: 2017-08-16
• Subjects: Fractional integration -- nonlinearities -- Nile river -- northern hemisphere temperatures -- CO2 emissions; C22; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2016.1245832
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: This article examines the interaction between fractional integration and nonlinear structures by using for the latter the Chebyshev polynomials in time that can be taken as an alternative, less abrupt way of modelling breaks in time series data. A Lagrange multiplier test, developed for testing the order of integration in the context of nonlinear deterministic trends, is implemented in three well-known and previously studied time series data: the Nile river data, the temperatures in the Northern hemisphere and CO2 emissions in the US. The results suggest that the second and especially the third time series display nonlinear behaviour still with fractional degrees of differentiation.