Cointegration in fractional systems with deterministic trends

We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and deterministic trends, we consider various estimates of the cointegrating vector and develop relevant asymptotic theory, including the situation where fractional orders of integration are unknown.

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Year of publication:	2004-05
Authors:	Iacone, Fabrizio ; Robinson, Peter M.
Institutions:	London School of Economics (LSE)
Subject:	Fractional cointegration \| deterministic trends \| ordinary least squares estimation \| generalized least squares estimation \| Wald tests

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometrics; EM/2004/476, EM/04/476 41 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010746344