following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r … to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … CCA between differences and lagged levels of a time series vector. The resulting test statistics can easily be adjusted …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …