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Cointegration in fractional systems with deterministic trends

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  • Robinson, P.M.
  • Iacone, F.

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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  • Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  • Handle: RePEc:eee:econom:v:129:y:2005:i:1-2:p:263-298
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    Cited by:

    1. Javier Hualde & Morten Ørregaard Nielsen, 2017. "Truncated sum of squares estimation of fractional time series models with deterministic trends," Working Papers 1376, Queen's University, Department of Economics.
    2. 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.
    3. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    4. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    5. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    6. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
    7. Galeotti, Marzio & Manera, Matteo & Lanza, Alessandro, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Climate Change Modelling and Policy Working Papers 12045, Fondazione Eni Enrico Mattei (FEEM).
    8. 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.
    9. 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.
    10. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
    11. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    12. 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.
    13. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    14. 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.

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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