Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - Rimini Centre for Economic Analysis (RCEA) - 2010
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals...
