Cointegration in fractional systems with deterministic trends
Iacone, F. & Robinson, P. M.
(2004).
Cointegration in fractional systems with deterministic trends.
(Econometrics; EM/2004/476 EM/04/476).
Suntory and Toyota International Centres for Economics and Related Disciplines.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2004 Peter M Robinson |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2232 |
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