Fractional Integration in the Context of Deterministic Trends

Gil-Alana, L.A.

  • 발행 : 2004.08.01


In this article we show that the tests of Robinson (1994) may have serious problems in distinguishing between fractionally integrated processes in the context of deterministic trends. The results are obtained via Monte Carlo experiments. A simple procedure, based on the t-values of the coefficients from the differenced regression, is presented to correctly specify the time series of interest and, an empirical application, using data of the US GNP is also carried out at the end of the article.


Misspecification;Fractional integration;Deterministic trends


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