• 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