Simwaka, Kisu - Volkswirtschaftliche Fakultät, … - 2012
According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the … traditional cointegration to the long memory framework. In this paper, we extend the fractional cointegration model in Johansen … case, the Johansen (2008) fractional cointegration setup is treated as a special case of our model. …