Comments on “A Critical Investigation on Detrending Procedures for Non-Linear Processes”

Abstract

We agree that either mistaking a stochastic trend for a deterministic trend (or vice-versa) is consequential for unit root tests and for tests of nonlinear serial dependence. In addition, we comment that similar results obtain for ordinary parameter inference in simple linear models. In particular, we note that detrending stochastically trended data with a… (More)

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Cite this paper

@inproceedings{Ashley2005CommentsO, title={Comments on “A Critical Investigation on Detrending Procedures for Non-Linear Processes”}, author={Richard Ashley and Virginia Tech and Randal J. Verbrugge}, year={2005} }