持续和反持续过程趋势的部分单边半参数推理

IF 2 Q2 ECONOMICS

Econometrics and Statistics Pub Date : 2024-04-01 DOI:10.1016/j.ecosta.2021.12.007

Karim M. Abadir , Walter Distaso , Liudas Giraitis

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引用次数: 0

摘要

研究考虑了在可能是非平稳和非高斯的趋势过程模型中进行假设检验的问题。考虑到关于持久性参数的典型假设的片面性，利用半参数估计器开发了针对这些过程的联合假设检验，以获得更强的能力。这些结果适用于多种过程，而且易于实现。以国内生产总值的动态应用为例进行说明。

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

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.

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来源期刊

Econometrics and Statistics ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

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.