Exponential Time Trends in a Fractional Integration Model

Guglielmo Maria Caporale and Luis Gil-Alana

No 10774, CESifo Working Paper Series from CESifo

Abstract: This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson’s (1994) tests and is more general that standard time series models, which only allow for linear trends. Montecarlo simulations show that it performs well in finite sample. Three empirical examples confirm that the suggested specification captures the properties of the data adequately.

Keywords: exponential time trends; fractional integration; Montecarlo simulations (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Exponential Time Trends in a Fractional Integration Model (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_10774

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