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:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Fractional cointegration \| deterministic trends \| ordinary least squares estimation \| generalized least squares estimation \| Wald tests

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005670820