Time varying fractional cointegration
AbstractAccording to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. In this paper, we extend the fractional cointegration model in Johansen (2008) and propose a time-varying framework, in which the fractional cointegrating relationship varies over time. In this case, the Johansen (2008) fractional cointegration setup is treated as a special case of our model.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 39505.
Date of creation: 10 Jun 2012
Date of revision:
Time varying Fractional cointegration;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
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