Exponential Time Trends in a Fractional Integration Model
CESifo, Munich, 2023
CESifo Working Paper No. 10774
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.
Fiscal Policy, Macroeconomics and Growth
Empirical and Theoretical Methods