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Time varying fractional cointegration

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  • Simwaka, Kisu

Abstract

According 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.

Suggested Citation

  • Simwaka, Kisu, 2012. "Time varying fractional cointegration," MPRA Paper 39505, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:39505
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    References listed on IDEAS

    as
    1. Ingolf Dittmann, 2004. "Error Correction Models for Fractionally Cointegrated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 27-32, January.
    2. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
    3. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-464, October.
    4. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-1599, November.
    5. Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1453-1490, October.
    6. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    7. Johansen, SØren, 2008. "A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes," Econometric Theory, Cambridge University Press, vol. 24(3), pages 651-676, June.
    8. Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane, 2005. "Testing for the cointegration rank when some cointegrating directions are changing," Journal of Econometrics, Elsevier, vol. 124(2), pages 269-310, February.
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    11. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
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    More about this item

    Keywords

    Time varying Fractional cointegration;

    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; State Space Models
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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