Cointegration in fractional systems with deterministic trends
Iacone, Fabrizio; and Robinson, Peter M.
(2004)
Cointegration in fractional systems with deterministic trends.
[Working paper]
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 |
|---|---|
| Keywords | Fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; Wald tests. |
| Departments |
Economics STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2232 |