We consider a common components model for multivariate fractional cointegration, in which the s>=1 components have … memory parameter estimates can be used to test for fractional cointegration and to consistently identify the cointegrating …

against the alternative of fractional cointegration. Since the corresponding asymptotic properties have not yet been … fractional cointegration tests (Lo, Lobato-Robinson and Geweke and Porter-Hudak) in small and medium sample sizes. Moreover, by … established, this paper provides simulated critical values, power and size relating to the EML-based test for fractional …

to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly …

component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal …

in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies … between two seasonally integrated, I(1) series. In testing problems involving seasonal fractional cointegration, it is argued …

is as yet little consensus on the methodology for testing for fractional cointegration. The contribution of this paper is …

Local Whittle Analysis of Stationary Fractional Cointegration Morten Ørregaard Nielsen Working Paper No. 2002 … Analysis of Stationary Fractional Cointegration Morten Ørregaard Nielsen Working Paper No. 2002-8 DEPARTMENT OF ECONOMICS … +45 86 13 63 34 Local Whittle Analysis of Stationary Fractional Cointegration (Job Market Paper) Morten Ørregaard Nielsen …