Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555309 | Journal of Econometrics | 2005 | 36 Pages |
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
P.M. Robinson, F. Iacone,