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Identifier to cite or link to this item: https://hdl.handle.net/10086/17447

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Title
K-Asymptotics Associated with Deterministic Trends in the Integrated and Near-Integrated Processes
Creator
Creator Name
Tanaka, Katsuto Tanaka, Katsuto
田中, 勝人 田中, 勝人
Affiliation
Affiliation Name
Hitotsubashi University
Rights
The definitive version is available at http://www.interscience.wiley.com/
JEL
C12
C15
C22
Abstract
Dealing with integrated and near-integrated processes, this paper investigates the validity of regression on deterministic trends of K terms as K becomes large. It is found that the regression tends to be valid in spite of the true process being free from deterministic trends, which implies that the distinction between stochastic and deterministic trends disappears in K-asymptotics of the integrated and near-integrated processes. It is also shown that in K-asymptotics the usual unit root test, based on the model with deterministic trends of K terms, becomes useless against near-integration since the unit root distribution remains unchanged.
Publisher
Blackwell
Issued Date
2001-03
Language
English(eng)
Resource Type
journal article
Version Type
AM
Is Version OfRelation -
Related Identifier
DOI
  10.1111/1468-5876.00179
ISSN
1352-4739
NCID
AA11037573
Source Title
Japanese Economic Review
Volume Number
52
Issue Number
1
Page Start
35
Page End
63
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/17447