A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials
Keywords: 
Materias Investigacion::Economía y Empresa
Issue Date: 
2012
Citation: 
Gil-Alana, L.A. (Luis A.); Cuestas, J. C. (Juan Carlos). "A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials". En . , 2012,
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, we present a procedure that permits 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, and an empirical application, using data of real exchange rates is also carried out at the end of the article.

Files in This Item:
File: 
1352908947_WP_UNAV_14_12.pdf
Description: 
Size: 
272,98 kB
Format: 
Adobe PDF


Items in Dadun are protected by copyright, with all rights reserved, unless otherwise indicated.