Partially one-sided semiparametric inference for trending persistent and antipersistent processes

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.