Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments

Project: Research

Project Description

The fundamental objectives of this project are to: (i) Extend current econometric practice and consider the use of power laws as a basis for the construction of a more flexible and realistic class of models for the analysis of economic and financial time series. (ii) To develop inferential techniques appropriate for the modelling of dynamic econometric systems that incorporate structure characterized by power laws. This will be achieved by building upon the class of fractionally integrated processes. New econometric models and methodologies for the analysis of non-stationarity series will be developed, along with the associated theoretical results.
StatusFinished
Effective start/end date1/01/0431/12/06

Funding

  • Australian Research Council (ARC): AUD120,000.00
  • Monash University