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摘要翻译：
我们开发了一个未观察到的组件模型的推广，通过将永久组件建模为一个部分集成的过程，允许广泛的长期动态范围。该模型不要求平稳性，可以以状态空间形式强制转换。在多元系统中，分数趋势可能产生协整系统。我们导出了公共分数积分分量的Kalman滤波估计，并建立了极大似然估计的相合性和渐近（混合）正态性。我们应用该模型提取了三个美国通货膨胀测度的一个共同的长期成分，其中我们表明，对于共同的趋势，$I(1)$假设很可能被违反。
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英文标题：
《Fractional trends in unobserved components models》
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作者：
Tobias Hartl, Rolf Tschernig, Enzo Weber
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated process. The model does not require stationarity and can be cast in state space form. In a multivariate setup, fractional trends may yield a cointegrated system. We derive the Kalman filter estimator for the common fractionally integrated component and establish consistency and asymptotic (mixed) normality of the maximum likelihood estimator. We apply the model to extract a common long-run component of three US inflation measures, where we show that the $I(1)$ assumption is likely to be violated for the common trend.
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PDF链接：
https://arxiv.org/pdf/2005.03988
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