Arbeitspapier
Exponential Time Trends in a Fractional Integration Model
This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for linear trends. Montecarlo simulations show that it performs well in finite sample. Three empirical examples confirm that the suggested specification captures the properties of the data adequately.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 10774
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistical Simulation Methods: General
- Thema
-
exponential time trends
fractional integration
Montecarlo simulations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Gil-Alana, Luis Alberiko
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2023
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