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.
Cointegration in fractional systems with deterministic trends / P..M. Robinson, F. Iacone. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 129:1-2(2005), pp. 263-298.
Cointegration in fractional systems with deterministic trends
F. Iacone
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.
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