Cointegration in Fractional Systems with Deterministic Trends
Fabrizio Iacone and Peter M Robinson
Published May 2004
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.
Paper Number EM/2004/476:
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