Trend stationarity versus long-range dependence in time series analysis

Journal of Econometrics

Volumn 108, Issue 1, 2002, Pages 25-42

  Marmol, Francesc ^a   Velasco, Carlos ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Local frequency domain estimation; Long range dependence; Spurious detrending; Trend stationarity

Indexed keywords

FREQUENCY DOMAIN ANALYSIS; INTEGRATION; LEAST SQUARES APPROXIMATIONS; PARAMETER ESTIMATION; THEOREM PROVING;

LOCAL FREQUENCY DOMAIN ESTIMATION; SPURIOUS DETRENDING; TREND STATIONARITY;

TIME SERIES ANALYSIS;

EID: 0347354958     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00099-9     Document Type: Article

References (21)

1. Akonom, J., Gourieroux, C., 1987. A functional central limit theorem for fractional processes. Discussion Paper 8801, CEPREMAP, Paris.
2. Baillie R. Long memory processes and fractional integration in econometrics. Journal of Econometrics. 73:1996;5-59.
3. Beran J. Statistics for Long Memory Processes. 1994;Chapman & Hall, New York.
4. Chambers M.J. Fractional integration, trend stationarity and difference stationarity. Evidence from some U.K. macroeconomic time series. Economics Letters. 50:1996;19-24.
5. Durlauf S.N., Phillips P.C.B. Trends versus random walks in time series analysis. Econometrica. 56:1988;1333-1354.
6. Hassler, U., Marmol, F., Velasco, C., 2000. Residual log-periodogram inference for long-run relationships. Preprint, Universidad Carlos III de Madrid.
7. Hassler U., Wolters J. Long memory in inflation rates: Empirical evidence. Journal of Business and Economic Statistics. 13:1995;37-45.
8. Mandelbrot B.B., Van Ness J.W. Fractional brownian motions, fractional noises and applications. SIAM Review. 10:1968;422-437.
9. Marinucci D., Robinson P.M. Alternative forms of fractional brownian motion. Journal of Statistical Planning and Inference. 80:1999;111-122.
10. Marinucci D., Robinson P.M. Weak convergence of multivariate fractional processes. Stochastic Processes and their Applications. 86:2000;103-120.
11. Marmol F. Spurious regression theory with nonstationary fractionally integrated processes. Journal of Econometrics. 84:1998;232-250.
12. Nelson C.R., Plosser C.I. Trends and random walks in macroeconomic time series. Journal of Monetary Economics. 10:1982;139-162.
13. Phillips P.C.B. Time series regression with a unit root. Econometrica. 55:1987;277-301.
14. Robinson P.M. Time series with strong dependence. Sims C.A. Advances in Econometrics, Vol. 1. 1994;47-95 Cambridge University Press, Cambridge.
15. Robinson P.M. Inference-without-smoothing in the presence of nonparametric autocorrelation. Econometrica. 66:1998;1163-1182.
16. Robinson, P.M., Marinucci, D., 1998. Semiparametric frequency domain analysis of fractional cointegration. STICERD Discussion Paper EM-348, LSE.
17. Robinson, P.M., Marinucci, D., 2000. The averaged periodogram for nonstationary vector time series. Statistical Inference for Stochastic Processes, Vol. 3, 149-160.
18. Robinson P.M., Velasco C. Autocorrelation-robust inference. Maddala G.S., Rao C.R. Handbook of Statistics, Vol. 15 (Robust Inference). 1997;267-298 North-Holland, Amsterdam.
19. Samorodnistsky G., Taqqu M.S. Stable Non-Gaussian Random Processes. 1994;Chapman & Hall, New York.
20. Velasco C. Non-stationary log-periodogram regression. Journal of Econometrics. 91:1999;325-371.
21. Velasco C. Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis. 20:1999;87-127.