出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：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.
关键词：Fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; Wald tests.
