An investigation into a non-linear stochastic trend model |
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Authors: | Klaus Neusser |
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Institution: | (1) University of Berne, Department of Economics, Gesellschaftsstrasse 49, CH-3012 Berne, Switzerland (e-mail: klaus.neusser@vwi.unibe.ch), CH |
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Abstract: | The paper explores the empirical properties of a non-linear stochastic trend model which can be viewed as an intermediate
case between a linear and a log-linear trend model. I assess the small sample distribution of the ML estimator by Monte Carlo
simulations and use it to model some typical macroeconomic time series. The non-linear trend model turns out to be an important
tool which warrants further analysis. I also compute impulse response functions and compare them with those obtained from
a conventional linear model.
First version received: August 1997/final version received: June 1998 |
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Keywords: | : Non-linear trend impulse response |
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