Title of article :
Cointegration in fractional systems with deterministic trends
Author/Authors :
Robinson، نويسنده , , P.M. and Iacone، نويسنده , , F.، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2005
Abstract :
We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial or 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 , Wald tests , Generalized least squares estimation
Journal title :
Journal of Econometrics
Journal title :
Journal of Econometrics