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This paper examines the interaction between non-linear deterministic trends and long run dependence by means of employing Chebyshev time polynomials and assuming that the detrended series displays long memory with the pole or singularity in the spectrum occurring at one or more possibly non-zero frequencies. The combination of the non-linear structure with the long memory framework produces a model which is linear in parameters and therefore it permits the estimation of the deterministic terms by standard OLS-GLS methods. Moreover, we present a procedure that permits us to test (possibly fractional) orders of integration at various frequencies in the presence of the Chebyshev trends with no effect on the standard limit distribution of the method. Several Monte Carlo experiments are conducted and an empirical application, using data of real exchange rates, is also carried out at the end of the article.

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Cuestas, J.C. -  Gil -  Alana, L.A. - 

Id.: 55259476

Versión: 1.0

Estado: Final

Tipo:  text - 

Tipo de recurso: Monograph  -  NonPeerReviewed  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  text - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] http://www.shef.ac.uk/economics/research/serps/year
[References] http://eprints.whiterose.ac.uk/43893/

Fecha de contribución: 20-feb-2016


* Cuestas, J.C. and Gil-Alana, L.A. (2012) A non-linear approach with long range dependence based on chebyshev polynomials. Working Paper. Sheffield Economic Research Paper Series . Department of Economics, University of Sheffield ISSN 1749-8368

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