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Time varying fractional cointegration

Simwaka, Kisu (2012): Time varying fractional cointegration.

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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.

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