Working paper
Weak' trends for inference and forecasting in finite samples
- Abstract:
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This paper studies the small sample properties of processes which exhibit both a stochastic and a deterministic trend. Whereas for estimation, inference and forecasting purposes the latter asymptotically dominates the former, it is not so when only a finite number of observations is available and large non-linearities in the parameters of the process result. To analyze this dependence, we resort to local-asymptotics and present the concept of a 'weak' trend whose coefficient is of order O(T-1...
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- Publication status:
- Published
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Authors
Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2004-12-01
- Paper number:
- 210
Item Description
- Keywords:
- Pubs id:
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1144219
- Local pid:
- pubs:1144219
- Deposit date:
- 2020-12-15
Terms of use
- Copyright date:
- 2004
- Rights statement:
- Copyright 2004 The Author(s)
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