Tschernig, Rolf; Weber, Enzo; Weigand, Roland - Wirtschaftswissenschaftliche Fakultät, Universität … - 2013
Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive...