Gonzalo, Jesus; Lee, Tae-Hwy - In: Journal of Applied Statistics 27 (2000) 7, pp. 821-827
This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust performance. This result holds...