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Cointegration in Fractional Systems with Deterministic Trends

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  • Fabrizio Iacone
  • 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.

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File URL: http://sticerd.lse.ac.uk/dps/em/em476.pdf
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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2004/476.

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Date of creation: May 2004
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Handle: RePEc:cep:stiecm:/2004/476

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; Wald tests.;

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References

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Citations

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Cited by:
  1. Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November.
  2. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
  3. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1027, Universitá degli Studi di Milano.
  4. Luis A. Gil-Alana, 2009. "Warming break trends and fractional integration in the northern, southern and global temperature anomaly series," Faculty Working Papers 09/09, School of Economics and Business Administration, University of Navarra.
  5. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  6. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
  7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo Group Munich.
  8. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  9. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.

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