Article ID Journal Published Year Pages File Type
9555309 Journal of Econometrics 2005 36 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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