Trend stationarity versus long-range dependence in time series analysis

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dc.contributor.author Marmol, Francesc
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2009-06-04T12:22:46Z
dc.date.available 2009-06-04T12:22:46Z
dc.date.issued 2002-05
dc.identifier.bibliographicCitation Journal of Econometrics. 2002, vol. 108, nº 1, p. 25–42
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/4349
dc.description.abstract Empirically, it is difficult to offer unequivocal judgment as to whether many real economic variables are fractionally integrated or trend stationary. The objective of this paper is to study the effects of spurious detrending of a nonstationary fractionally integrated NFI(d), dE (1/2, 3/2). With respect to the performance of the traditional least squares estimators and tests we prove that the estimated time trend coefficient is consistent but that the corresponding t-Student test diverges. We also analyze a local version in the frequency domain of least squares. We are able to show the consistency of this estimator and that, after conveniently adjusting variance estimates, its t-ratio has a well-defined but nonstandard limiting distribution. Nonetheless, in this latter case it is possible to obtain a set of critical values giving rise to the correct size for any given dE (1/2, 3/2).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Trend stationarity
dc.subject.other Long-range dependence
dc.subject.other Spurious detrending
dc.subject.other Local frequency domain estimation
dc.title Trend stationarity versus long-range dependence in time series analysis
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0304-4076(01)00099-9
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/S0304-4076(01)00099-9
dc.rights.accessRights openAccess
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