What is Fractional Integration?
提出一种称为误差持续期的模型，能生成分数积分和长记忆性，并解释经济变量中的动态持续性，对模拟分数积分和理解结构变化有直接帮助。
A simple construction that will be referred to as an error-duration model is shown to generate fractional integration and long memory. An error-duration representation also exists for many familiar ARMA models, making error duration an alternative to autoregression for explaining dynamic persistence in economic variables. The results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change. Two examples show how the error-duration model could account for fractional integration in aggregate employment and in asset price volatility. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology