Karim M. Abadir , Walter Distaso , Liudas Giraitis
{"title":"Partially one-sided semiparametric inference for trending persistent and antipersistent processes","authors":"Karim M. Abadir , Walter Distaso , Liudas Giraitis","doi":"10.1016/j.ecosta.2021.12.007","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"30 ","pages":"Pages 1-14"},"PeriodicalIF":2.0000,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2452306221001611","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.
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