A Fractional Integration Model with Autoregressive Processes

Guglielmo Maria Caporale and Luis Alberiko Gil-Alana

No 11984, CESifo Working Paper Series from CESifo

Abstract: This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the suggested framework outperforms standard AR(F)IMA specifications in capturing the properties of the series examined.

Keywords: time series modelling; stationarity; fractional integration; autoregressions (search for similar items in EconPapers)
JEL-codes: C22 C50 (search for similar items in EconPapers)
Date: 2025
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