Time varying fractional cointegration

Kisu Simwaka

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Time; varying; Fractional; cointegration (search for similar items in EconPapers)
JEL-codes: C10 C32 (search for similar items in EconPapers)
Date: 2012-06-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:39505

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