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Cointegration in fractional systems with deterministic trends

By Fabrizio Iacone and Peter M. Robinson

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

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 2004
OAI identifier: oai:eprints.lse.ac.uk:2232
Provided by: LSE Research Online

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