Answers based on econometric references will be greatly enjoyed!
For starters:
Granger, C.W.J. and Joyeux, R. (1980), AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. Journal of Time Series Analysis, 1: 15-29.
C.W.J. Granger, Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, Volume 14, Issue 2, 1980, Pages 227-238.
Thanks a lot Thomas Dimpfl! I will explore this article and this area of the literature.
Dear Jamel, happy new year !
Well, to be faire my answer is more or less similar to Thomas' who provided a reference. In your contest you must check and model using fractional cointegration tests and estimators. I just found a reference that may be useful and that seem relevant to your problem:
Chapter Long Memory Time Series Modeling
If you are an R user you may find this useful too:
https://cran.r-project.org/web/packages/LongMemoryTS/LongMemoryTS.pdf
All the best.
Franck.
Thank you very much Franck Nadaud for these useful pieces of research. I have not yet read Zivot's chapter. I am not an R user, but the document is full of references on this area of the literature.
Besides, I think I should switch from STATA to R, at least, for this project.
There is also the web page of Morten Ørregaard Nielsen with Matlab, R, STATA and FORTRAN codes and routines: https://sites.google.com/view/mortennielsen/software
I also wish you a wonderful year!
Dear Jamel, thank you very much for the veryh interesting of this econometrician.
You are meking the right choice and I can advise you about R. But feel free to keep an eye on Stata.
concerning R, you should look for the magnificient IDE Rstudio:
https://rstudio.com/
And for learning the good start is the world famous R for datascience:
https://r4ds.had.co.nz/
But you can find many tutorials for R learning.
I recommand for econometricians the principles of econometrics with R:
https://bookdown.org/ccolonescu/RPoE4/
But you can find many interesting books on the bookdown website:
https://bookdown.org/
bookdown is a very handy package to produce reports and books with Rmarkdown itself very useful to produce work documents in your team, colleagues and studients.
Perhaps it would be interesting to open a R group on researchgate...
All the best. Sincerely.
Franck.
Thank you Franck, I also used R Studio in my lectures, and it is very kind to share all these resources with me and the RG community.
The temporary conclusion is the best software to implement fractional cointegration test is R.
If you open R thread here, I think I will follow it!
Best,
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