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2000•Journal of systems engineeringRequires access

Research on the cointegration for vector fractional integration series

Xi Cheng

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Abstract

The concept of cointegration putforward by Granger implies long run equilibrium among variables.In Granger's theory,the assumption that all variables belong to I (d) is given,where d is an integer. This paper gives the definition of fractional integer (FI) time series where｜d｜0.5. Furthermore, it also discusses the concept of frational cointegrated theory of multivariate nonstationary time series. Some important results are given.

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What this paper is about

The concept of cointegration putforward by Granger implies long run equilibrium among variables.In Granger's theory,the assumption that all variables belong to I (d) is given,where d is an integer. This paper gives the definition of fractional integer (FI) time series where｜d｜0.5. Furthermore, it also discusses the concept of frational cointegrated theory of multivariate nonstationary time series. Some important results are given.

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Available abstract

The concept of cointegration putforward by Granger implies long run equilibrium among variables.In Granger's theory,the assumption that all variables belong to I (d) is given,where d is an integer. This paper gives the definition of fractional integer (FI) time series where｜d｜0.5. Furthermore, it also discusses the concept of frational cointegrated theory of multivariate nonstationary time series. Some important results are given.

Key concepts: Cointegration, Series (stratigraphy), Multivariate statistics, Integer (computer science), Mathematics, Econometrics, Order of integration (calculus), Long memory

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