Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - In: Journal of Time Series Analysis 29 (2008) 6, pp. 1088-1103
We consider bivariate regressions of nonstationary fractionally integrated variables dominated by linear time trends. The asymptotic behaviour of the ordinary least square (OLS) estimators in this case allows limiting normality to arise at a faster rate of convergence than if the individual...