Dueker, Michael; Startz, Richard - Federal Reserve Bank of St. Louis - 1997
cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its … and go undetected in traditional 1(1)/i (0) cointegration analysis, previous tests for fractional cointegration relied on … a unit root. In our example of fractional cointegration between 10-year government bond rates in the United States and …
