Iacone, Fabrizio and Robinson, Peter M. (2004) Cointegration in fractional systems with deterministic trends. Econometrics; EM/2004/476, EM/04/476. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2004 Peter M Robinson|
|Uncontrolled Keywords:||Fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; Wald tests.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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