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Estimating deterministic trends in the presence of serially correlated errors

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  • Eugene Canjels
  • Mark W. Watson

Abstract

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
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Suggested Citation

  • Eugene Canjels & Mark W. Watson, 1994. "Estimating deterministic trends in the presence of serially correlated errors," Working Paper Series, Macroeconomic Issues 94-19, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhma:94-19
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    References listed on IDEAS

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    1. Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
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    More about this item

    Keywords

    Econometrics;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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