English, Article, Journal or magazine article edition: Inference in the Presence of Stochastic and Deterministic Trends Chevillon, Guillaume

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/170009
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inference in the Presence of Stochastic and Deterministic Trends
Author
  • Chevillon, Guillaume
Physical Description
  • preprint
Notes
  • The focus of this paper is inference about stochastic and deterministic trends when both types are present. We show that, contrary to asymptotic theory and the existing literature, the parameters of the deterministic components must be taken into account in finite samples. We analyze the ubiquitous Likelihood Ratio test for the rank of cointegration in vector processes. Here, we directly control the parameters of the data generating process so that a local-asymptotic framework accounts for small sample interactions between stochastic and deterministic trends. We show that the usual corrections are invalid as they take no account of the relative magnitudes of these two types of trends. Block-local models provide an embedding framework which provides a rationale for consistent estimation and testing of the whole set of parameters. In an empirical application to European GDP series, we show that using usual corrections leads to underestimating the number of stochastic trends.
  • Block Local Models; Cointegration; Finite Samples; Likelihood Ratio; Weak Trends
  • RePEc:ebg:essewp:dr-07021
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment