This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …

and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength <0.5). Therefore our …

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …