Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Econometrics : open access journal 12 (2024) 2, pp. 1-14
This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...