Javier Hualde, Morten Ørregaard Nielsen
arXiv 18 Nov 2022 · Econometrics · 12 citations (OpenAlex)
arXiv:2211.10235 · PDF · DOI · OpenAlex · Extracted main text
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.
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | The modified conditional sum-of-squares estimator for fractionally integrated models | 0.405 | 1 | 1 |