2022/11/18 by Javier Hualde, Morten Ørregaard Nielsen, Hualde, Javier +1
Economics, Econometrics and Finance · #Econometrics (econ.EM) #Economic Theory and Policy #Economic theories and models #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Methodology (stat.ME) #Monetary Policy and Economic Impact #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2211.10235
openalex publication_date 2022/11/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.