Title of article
Cointegration in fractional systems with deterministic trends
Author/Authors
Robinson، نويسنده , , P.M. and Iacone، نويسنده , , F.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2005
Pages
36
From page
263
To page
298
Abstract
We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial or 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.
Keywords
Fractional cointegration , Deterministic trends , Ordinary least squares estimation , Wald tests , Generalized least squares estimation
Journal title
Journal of Econometrics
Serial Year
2005
Journal title
Journal of Econometrics
Record number
1558815
Link To Document