Research output: Working paper/Preprint › Working paper
Fractional integration and cointegration. / Haulde, Javier; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2022.Research output: Working paper/Preprint › Working paper
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TY - UNPB
T1 - Fractional integration and cointegration
AU - Haulde, Javier
AU - Nielsen, Morten Ørregaard
PY - 2022/1/10
Y1 - 2022/1/10
N2 - 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.
AB - 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.
KW - Arfima model
KW - cofractional
KW - cointegration
KW - fractional Brownian motion
KW - fractional integration
KW - long memory
KW - long-range dependence
KW - nonstationary
KW - strong dependence
M3 - Working paper
T3 - CREATES Research Papers
BT - Fractional integration and cointegration
PB - Institut for Økonomi, Aarhus Universitet
CY - Aarhus
ER -