Exponential Time Trends in a Fractional Integration Model

Guglielmo Maria Caporale and Luis Gil-Alana

Econometrics, 2024, vol. 12, issue 2, 1-14

Abstract: This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only linear trends.. Its limiting distribution is standard normal, and Monte Carlo simulations show that it performs well in finite samples. Three empirical examples confirm that the suggested specification captures the properties of the data adequately.

Keywords: exponential time trends; fractional integration; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Exponential Time Trends in a Fractional Integration Model (2023)
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