Stochastic Linear Trends - Models and Estimators
Journal of Econometrics, 1993, 56, 01-feb, 5-37
MARAVALL, Agustin, Stochastic Linear Trends - Models and Estimators, Journal of Econometrics, 1993, 56, 01-feb, 5-37 - https://hdl.handle.net/1814/16777
Retrieved from Cadmus, EUI Research Repository
The paper considers stochastic linear trends in series with a higher than annual frequency of observation. Using an approach based on ARIMA models, some of the trend models for the model interpretation of trend estimation filters) most often found in statistics and econometrics are analysed and compared. The properties of the trend optimal estimator are derived, and the analysis is extended to seasonally adjusted and/or detrended series. It is seen that, under fairly general conditions, the estimator of the unobserved component is noninvertible, and will not accept a convergent autoregressive representation. This has implications concerning unit root testing and VAR model fitting.
Cadmus permanent link: https://hdl.handle.net/1814/16777
Full-text via DOI: 10.1016/0304-4076(93)90099-Q
Earlier different version: http://hdl.handle.net/1814/428
Version: The article is a published version of EUI ECO WP; 1992/77
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