Partially one-sided semiparametric inference for trending persistent and antipersistent processes
File(s)Final ECOSTA-D-21-00053.pdf (509.75 KB)
Accepted version
Author(s)
Abadir, Karim M
Distaso, Walter
Giraitis, Liudas
Type
Journal Article
Abstract
Hypothesis testing in models allowing for trending processes that are possibly nonstationary and non-Gaussian is considered. Using semiparametric estimators, joint hypothesis testing for these processes is developed, taking into account the one-sided nature of typical hypotheses on the persistence parameter in order to gain power. The results are applicable for a wide class of processes and are easy to implement. They are illustrated with an application to the dynamics of GDP.
Date Issued
2024-04-01
Date Acceptance
2021-12-19
Citation
Econometrics and Statistics, 2024, 30, pp.1-14
ISSN
2452-3062
Publisher
Elsevier BV
Start Page
1
End Page
14
Journal / Book Title
Econometrics and Statistics
Volume
30
Copyright Statement
© 2021 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Identifier
https://www.sciencedirect.com/science/article/pii/S2452306221001611?via%3Dihub
Publication Status
Published
Date Publish Online
2021-12-25