Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/282462 
Year of Publication: 
2023
Series/Report no.: 
CESifo Working Paper No. 10774
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
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.
Subjects: 
exponential time trends
fractional integration
Montecarlo simulations
JEL: 
C22
C15
Document Type: 
Working Paper
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