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Title: | Exponential time trends in a fractional integration model |
Authors: | Caporale, GM Gil-Alana, LA |
Keywords: | exponential time trends;fractional integration;Monte Carlo simulations |
Issue Date: | 31-May-2024 |
Publisher: | MDPI |
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. |
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. |
Description: | JEL Classification: C22; C15. Data Availability Statement: Data are available from authors upon request. |
URI: | https://bura.brunel.ac.uk/handle/2438/29063 |
DOI: | https://doi.org/10.3390/econometrics12020015 |
Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCiD: Luis Alberiko Gil-Alana https://orcid.org/0000-0002-5760-3123 15 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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