CREATES

Fractional integration and cointegration

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  • rp22_02

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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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages59
Publication statusPublished - 10 Jan 2022
SeriesCREATES Research Papers
Number2022-02

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