@unpublished{Abadir:2005, author = {Abadir, K and Distaso, W and Giraitis, L}, title = {Semiparametric estimation and inference for trending I(d) and related processes}, year = {2005} }
TY - UNPB AB - This paper deals with estimation and hypothesis testing in stationary and nonstationary models witha linear trend. Using semiparametric estimators, we obtain asymptotic confidence intervals for mean,trend, and memory parameters. The confidence intervals are applicable for a wide class of processes(including some nonlinear processes), exhibit high coverage accuracy and are easy to implement. Wealso develop joint hypothesis testing for these parameters, when the alternative for the memoryparameter is one-sided, but the ones for the deterministic components are two-sided. We use ourresults to show that US GDP has less memory than is implied by a unit root, and that it evolves arounda deterministic trend. This result has important implications for macroeconomic stabilization policies. AU - Abadir,K AU - Distaso,W AU - Giraitis,L PY - 2005/// TI - Semiparametric estimation and inference for trending I(d) and related processes ER -