We consider regressions of nonstationary fractionally integrated variables dominated by linear time trends. The regression errors can be short memory, long memory, or even nonstationary, and hence allow for a very flexible cointegration model. Our main contributions are two: First, we analyze...

This paper studies the asymptotics of nonstationary fractionally integrated (NFI) multivariate processes with memory parameter d 0.5 . We provide conditions to establish a functional central limit theorem and weak convergence of stochastic integrals for NFI processes under the assumption that...