Working Papers Home


2014 Working Papers
2013 Working Papers
2012 Working Papers
2011 Working Papers
2010 Working Papers
2009 Working Papers
2008 Working Papers
2007 Working Papers
2006 Working Papers
2005 Working Papers
2004 Working Papers
2003 Working Papers
2002 Working Papers
2001 Working Papers
2000 Working Papers


Search All Papers


JEL Classification


Past Working Papers (Prior to 2000)


Office of Research
Home Page



Information on
Submitting a Paper



 
 
"Estimating Average Economic Growth in Time Series Data with Persistency"

Qifang Xiao and Zhijie Xiao

 

First Author :

Qifang Xiao
University of Illinois at Urbana-Champaign


Second Author :

Zhijie Xiao
Economics
University of Illinois at Urbana-Champaign
1206 S. Sixth Street, M/C 706
Champaign, IL 61820
USA

zxiao@uiuc.edu

http://www.business.uiuc.edu/faculty/xiao.html

 
 
Abstract :
 
This paper studies estimation of deterministic trends in time series models with persistency. In particular, a joint estimation of the trend coefficient and the autoregressive parametere is proposed and asympototic analysis on the nonlinear estimator is provided. The joint estimator is compared with several conventional trend estimators. Monte Carlo experiments indicate that the proposed estimators have good finite sample performance. We use these procedures to estimate growth rates for real GNP and consumer price index in 40 countries.
 
 
JEL Classification : C13 , C33
 
 
Keywords :
 
Nonlinear Regression; Persistency; Trend; Near Unit Roots
 
 
Manuscript Received : 2003
Manuscript Published : 2003
 
 
This abstract has been viewed 2601 times.