This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which …-distributed tests is proposed. Finally, an empirical application is provided where the FDF test allowing for deterministic components is …

the simultaneous determination of rank and deterministic components in a vector error correction model. Examining the five …

observed values with predictions made by a deterministic components model, the Holt-Winters exponential smoothing filter, an … ARIMA model and a structural time series model. As expected, we show that the deterministic components model is too rigid in …