Fractional integration and cointegration

TL;DR

This chapter provides an introductory overview of fractional integration and cointegration, highlighting key ideas and methods for researchers and students interested in nonstationary time series analysis.

Contribution

It offers a beginner-friendly summary of the main concepts and techniques in the fractional integration and cointegration literature, suitable for graduate-level learners.

Findings

Summarizes key methods in fractional integration and cointegration.

Highlights applications to nonstationary time series.

Provides foundational understanding for further research.

Abstract

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.