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.
Copy

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.

picture_as_pdf


Download

Export as

EndNote BibTeX Reference Manager Refer Atom Dublin Core JSON Multiline CSV
Export