Cointegration in fractional systems with deterministic trends

Fabrizio Iacone and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2004-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://eprints.lse.ac.uk/2232/ Open access version. (application/pdf)

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:ehl:lserod:2232

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