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Fractional integration and cointegration

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  • Javier Haulde

    (Department of Economics, Universidad Pública de Navarra)

  • Morten Ørregaard Nielsen

    (Aarhus University, Department of Economics and Business Economics and CREATES)

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.

Suggested Citation

  • Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2022-02
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    Keywords

    Arfima model; cofractional; cointegration; fractional Brownian motion; fractional integration; long memory; long-range dependence; nonstationary; strong dependence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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