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Fractional integration and cointegration

Javier Hualde () and Morten Nielsen
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Javier Hualde: Department of Economics, Universidad Pública de Navarra, Postal: Campus Arrosadia, 31006 Pamplona, Spain

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this enormous literature, but rather a more introductory treatment suitable for a researcher or graduate student wishing to learn about this exciting field of research. With this aim, we have surely overlooked many relevant references for which we apologize in advance. Knowledge of standard time series methods, and in particular methods related to nonstationary time series, at the level of a standard graduate course or advanced undergraduate course is assumed.

Keywords: Arfima model; cofractional; cointegration; fractional Brownian motion; fractional integration; long memory; long-range dependence; nonstationary; strong dependence (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 59
Date: 2022-01-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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