Arbeitspapier
Exponential Time Trends in a Fractional Integration Model
This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for linear trends. Montecarlo simulations show that it performs well in finite sample. Three empirical examples confirm that the suggested specification captures the properties of the data adequately.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 10774
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistical Simulation Methods: General
- Subject
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exponential time trends
fractional integration
Montecarlo simulations
- Event
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Geistige Schöpfung
- (who)
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Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
- Event
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Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2023
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Gil-Alana, Luis Alberiko
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2023
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