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Fractional cointegrating regressions in the presence of linear time trends

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorHassler, Uwe
dc.contributor.authorMarmol, Francesc
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2010-12-13T19:22:03Z
dc.date.available2010-12-13T19:22:03Z
dc.date.issued1998-01
dc.description.abstractWe consider regressions of nonstationary fractionally integrated variables dominated by linear time trends. The regression errors are short memory, long memory or even nonstationary, and hence allow for a very flexible cointegration model. In case of simple regressions, least squares estimation gives rise to limiting normal distribucions independently of the order of integration of the regressor, whereas the customary t-statistics diverge. We also investigate the possibility of testing for mean reverting equilibrium deviations by means of a residual-based log-periodogram regression. Asymptotic results become more complicated in the multivariate case.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9794
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries98-12
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.jelC15
dc.subject.jelC22
dc.subject.jelC32
dc.subject.otherNonstationary regressors
dc.subject.otherStationary or nonstationary errors
dc.subject.otherLimiting normality
dc.subject.otherResidual-based cointegration testing
dc.titleFractional cointegrating regressions in the presence of linear time trends
dc.typeworking paper*
dspace.entity.typePublication
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