Affordable Access

Download Read

Cointegration in fractional systems with deterministic trends

Authors
Publisher
Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Keywords
  • Hb Economic Theory

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.

There are no comments yet on this publication. Be the first to share your thoughts.