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Inference on nonparametrically trending time series with fractional errors

Robinson, Peter (2008) Inference on nonparametrically trending time series with fractional errors. Econometrics Papers (EM/2009/532). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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The central limit theorem for nonparametric kernel estimates of a smooth trend, with linearly-generated errors, indicates asymptotic independence and homoscedasticity across fixed points, irrespective of whether disturbances have short memory, long memory, or antipersistence. However, the asymptotic variance depends on the kernel function in a way that varies across these three circumstances, and in the latter two involves a double integral that cannot necessarily be evaluated in closed form. For a particular class of kernels, we obtain analytic formulae. We discuss extensions to more general settings, including ones involving possible cross-sectional or spatial dependence.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2008 Peter Robinson
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Date Deposited: 12 Oct 2009 15:30
Last Modified: 15 Sep 2023 23:13

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