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http://bura.brunel.ac.uk/handle/2438/29063Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.date.accessioned | 2024-05-27T08:35:38Z | - |
| dc.date.available | 2024-05-27T08:35:38Z | - |
| dc.date.issued | 2024-05-31 | - |
| dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
| dc.identifier | ORCiD: Luis Alberiko Gil-Alana https://orcid.org/0000-0002-5760-3123 | - |
| dc.identifier | 15 | - |
| dc.identifier.citation | Caporale, G.M. and Gil-Alana, L.A. (2024) 'Exponential time trends in a fractional integration model', Econometrics, 12 (2), 15, pp. 1 - 14. doi: 10.3390/econometrics12020015. | en_US |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/29063 | - |
| dc.description | JEL Classification: C22; C15. | en_US |
| dc.description | Data Availability Statement: Data are available from authors upon request. | - |
| dc.description.abstract | This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only linear trends.. Its limiting distribution is standard normal, and Monte Carlo simulations show that it performs well in finite samples. Three empirical examples confirm that the suggested specification captures the properties of the data adequately. | en_US |
| dc.description.sponsorship | Ministerio de Ciencia e Innovacion, throughout the grant MINEIC-AFE-FEDER PID2020-113691rb-100. | en_US |
| dc.format.extent | 1 - 14 | - |
| dc.format.medium | Electronic | - |
| dc.language.iso | en_US | en_US |
| dc.publisher | MDPI | en_US |
| dc.rights | Copyright © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). | - |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
| dc.subject | exponential time trends | en_US |
| dc.subject | fractional integration | en_US |
| dc.subject | Monte Carlo simulations | en_US |
| dc.title | Exponential time trends in a fractional integration model | en_US |
| dc.type | Article | en_US |
| dc.date.dateAccepted | 2024-05-24 | - |
| dc.identifier.doi | https://doi.org/10.3390/econometrics12020015 | - |
| dc.relation.isPartOf | Econometrics | - |
| pubs.issue | 2 | - |
| pubs.publication-status | Publlished | - |
| pubs.volume | 12 | - |
| dc.identifier.eissn | 2225-1146 | - |
| dc.rights.license | https://creativecommons.org/licenses/by/4.0/legalcode.en | - |
| dc.rights.holder | The authors | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). | 2.2 MB | Adobe PDF | View/Open |
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