This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference. Finally we analyse some data on annual mean temperature and...