Fractional integration, long-memory processes and non-linearities in time series: evidence from developing countries
Contributors: Luis Alberiko Gil-Alana
Financing: Ministerio de Ciencia, Innovación y Universidades del Gobierno de España (2017-2020)

This Research Project is a continuation of a research line initially proposed by the main researcher in this project, Luis Alberiko Gil Alaña in 2002 related with the theoretical models of long memory behaviour and fractional integration, and their empirical extensions related with the analysis of poverty and economic development in the Sub-Saharan Africa initiated in 2014.

The project contains two main parts. On the one hand, a) models with long memory behavior, throughout the use of the concepts of fractional integration and fractional cointegration, and on the other hand, b) the analysis of the macroeconomic and financial stability in developing countries using the econometric techniques described in the first part of the project.

Starting with the theoretical part of the project, the main purpose will be the construction of a very general and flexible model that allows us the inclussion of deterministic and stochastic components in the analysis of aspects such as the degree of persistence of the series, the issue of asymmetric and non-linear components, the seasonality and the possibility of economic cycles. Some of these issues have been already studied in the last few years by Luis Alberiko; however, all of them have been investigated in separated parts, and not inside a general framework that allows the simultaneous incorporation of all of them in the same theoretical model. Once this model is constructed, we will extend it to the multivariate case, studying the issues of fractional cointegration and multivariate fractionally integrated VAR models.

Dealing with the empirical part, we will employ the theoretical models developed above in the analysis of poverty and economic development. In particular, under the general framework of macroeconomic and financial stability in the developing countries, we will test different economic theories under very flexible assumptions in a geographical  set-up that includes three main areas: a) sub-Saharan Africa, b) Latin America, and c) Southeast Asia.

This project has a duration of three years, from 2017 to 2020.

Reference: ECO2017-85503-R