Access the full text.
Sign up today, get DeepDyve free for 14 days.
Abstract 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, the orthogonality property of Chebyshev’s polynomials makes them especially attractive to approximate non-linear structures of data. We present a procedure which allows 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 the results indicate that the method performs well. An empirical application, using data of real exchange rates is also carried out at the end of the article.
Studies in Nonlinear Dynamics & Econometrics – de Gruyter
Published: Feb 1, 2016
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Reference ManagersExport to EndNote
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.