| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/t0165
|
| 来源ID | Technical Working Paper 0165
|
| Estimating Deterministic Trends in the Presence of Serially Correlated Errors |
| Eugene Canjels; Mark W. Watson
|
| 发表日期 | 1994-09-01
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| 出版年 | 1994
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| 语种 | 英语
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| 摘要 | This paper studies the problems of estimation and inference in the linear trend model: yt=à+þt+ut, where ut follows an autoregressive process with largest root þ, and þ is the parameter of interest. We contrast asymptotic results for the cases þþþ < 1 and þ=1, and argue that the most useful asymptotic approximations obtain from modeling þ as local-to-unity. Asymptotic distributions are derived for the OLS, first-difference, infeasible GLS and three feasible GLS estimators. These distributions depend on the local-to-unity parameter and a parameter that governs the variance of the initial error term, þ. The feasible Cochrane-Orcutt estimator has poor properties, and the feasible Prais-Winsten estimator is the preferred estimator unless the researcher has sharp a priori knowledge about þ and þ. The paper develops methods for constructing confidence intervals for þ that account for uncertainty in þ and þ. We use these results to estimate growth rates for real per capita GDP in 128 countries. |
| 主题 | Econometrics
; Estimation Methods
; Other
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| URL | https://www.nber.org/papers/t0165
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562255
|
推荐引用方式
GB/T 7714 |
Eugene Canjels,Mark W. Watson. Estimating Deterministic Trends in the Presence of Serially Correlated Errors. 1994.
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文件名：
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t0165.pdf
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格式：
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Adobe PDF
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