K‐Asymptotics Associated with Deterministic Trends in Integrated and Near‐Integrated Processes

Katsuto Tanaka

The Japanese Economic Review, 2001, vol. 52, issue 1, 35-63

Abstract: Dealing with integrated and near‐integrated processes, this paper investigates the validity of regression on deterministic trends of K terms as K becomes large. It is found that the regression tends to be valid in spite of the true process being free from deterministic trends, which implies that the distinction between stochastic and deterministic trends disappears in K‐asymptotics of the integrated and near‐integrated processes. It is also shown that in K‐asymptotics the usual unit root test, based on the model with deterministic trends of K terms, becomes useless against near‐integration since the unit root distribution remains unchanged. JEL Classification Numbers: C12, C15, C22.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/1468-5876.00179

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jecrev:v:52:y:2001:i:1:p:35-63

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1352-4739

Access Statistics for this article

The Japanese Economic Review is currently edited by Akira Okada

More articles in The Japanese Economic Review from Japanese Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().