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Weak' trends for inference and forecasting in finite samples

Abstract:

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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Publisher:
University of Oxford Publisher's website
Series:
Department of Economics Discussion Paper Series
Publication date:
2004-12-01
Paper number:
210
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Pubs id:
1144219
Local pid:
pubs:1144219
Deposit date:
2020-12-15

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