Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone and Peter M Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: 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.

Keywords: Fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; Wald tests. (search for similar items in EconPapers)
Date: 2004-05
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Cointegration in fractional systems with deterministic trends (2005)
Working Paper: Cointegration in fractional systems with deterministic trends (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:476

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